I am also quite interested in the operations of mail and express trains. I model the B&O, and obtained from the B&ORRHS a copy of several Passenger Train Consist Books. These show which cars made up each scheduled passenger train (including mail/express) between various points as of the effective date. Some cars are called out by use--newspapers or storage mail--rather than carbody type. Not all car routings ran every day, and the books show that as well. Additional cars could also appear due to unusual demand, based on photo evidence of particular trains taken particular days and places. I have seen photos of a couple of foreign road "baggage" (mail/express really) cars on B&O trains. I remember a GN car for sure. Don't remember whether it was a passenger or mail/express train. Not sure where to find these examples in all my research material.
Presumably, foreign-road cars were used for interline movements originating on the foreign road and terminating on the B&O, or interchanging with connections at the other end of the line. The GN car, for example, could perhaps have been storage mail from the west destined for Washington, DC, refilled with mail for the west on the return movement.
Perhaps the NYC historical society has similar archival material available?
Express "box cars" can differ in whether they have passenger or freight trucks. Just a hunch, but I'd guess any with freight trucks stayed on home rails.
One reason I like express cars is that they are short, making it easier to have more cars in the train without wrapping around too many walls. B&O had 125 converted wagontop boxcars, 100 converted troop sleepers, and 100 unique 50' express cars.