The Katy was the nickname for the Missouri Kansas Texas Railroad ‎1870–1988.
My favorite version of this Blues tune is by Taj Mahal, although it was done by many including Albert King and the Blues Brothers.

She Caught the Katy written by Yank Rachell

She caught the Katy, and left me a mule to ride
She caught the Katy, and left me a mule to ride
My baby caught the Katy, left me a mule to ride
The train polled out, and I swung on behind

I'm crazy 'bout her, that hardheaded woman of mine
Man my baby's long, great god she's mighty she's tall
you know my baby's long, great god she's mighty my baby she's tall
Well my baby she's long, my baby she's tall
she sleeps wiht her head in the kitchen and her big feet out in the hall
And I'm still crazy 'bout her, that hardheaded woman of mine
Well I love my baby, she's so fine
I wish she'd come and see me some time
If you don´t believe I love her,
Look what a hole I'm in
If you don't believe I'm sinking,
Look what a shape I'm in

She caught the Katy, and left me a mule to ride
She caught the Katy, and left me a mule to ride
Well my baby caught the Katy, left me a mule to ride
The train polled out, and I swung on behind
I'm crazy 'bout her, that hardheaded woman-
hardheaded woman of mine