There is one in there, and if you look at the surrounding surfaces, it illuminates them. (Nice loco BTW Dan!). I turned on back face cull and it helps somewhat...
TBnite2.jpg
What I want to do is have the glass itself pick up the light, instead of passing right through. I suppose that the trainglass.fx shader won't do this, but it seems to be the most appropriate shader for this.

When I look at it from the top, the moon reflects great, as you will see here.
TBnitetop.jpg
So it reflects light nicely from the outside. What I'm trying to do is get the effect on the whole glass object. Maybe I could put a moon inside the thing.

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Down another rabbit hole we go....