Very often tapping the diaphragm (the metal plate inside the hole in the center of the horn) while trying to blow it (applying power) will get it going.
Another thing to try is a quick shot of power from your toy train transformer, say around 12-15 volts. JUST A QUICK SHOT FOR PERHAPS A SECOND
Sometimes a horn won't sound any more that a little click when the battery holder is making poor contact. Clean the contact areas of the battery holder.
The horn relay contacts might need cleaning too.
Finally, sometimes the armature (moving part) of the horn relay doesn't make good contact with the relay frame.