This is definitely not an illusion, as many people have the same experience. I have usually lived in places miles away from train stations, which makes it unlikely to hear any train horns during the day. However at night, occasionally train horns can be heard. I hope if any one can explain the physics of this effect, like possibly sound travels faster at low temperature.
Answer
There are two things that can be considered: one is trivial - that it is quieter at night so you are more likely to hear the horn.
The second is physics: the speed of sound depends on the square root of temperature, so the refractive index is proportional to $T^{-1/2}$.
At night it is quite possible to get a temperature inversion, such that air near the ground is colder than higher up. This would normally occur in still conditions and I think is more common in winter.
As the refractive index decreases with height it means that sound waves propagating upwards at some angle to the horizontal will be bent back towards the ground. The sound waves at some distance from the source will be more intense than you might expect if the waves propagated isotropically.
The contrast with the daytime situation would be enhanced by a more normal temperature gradient where the refractive index increases with height.
EDIT: For an excellent visualisation of this effect, see these animations produced by Daniel Russell (Penn State)
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