In a locamotive episode of Half As Interesting, the seemingly manic narrator Sam from Wendover explains why The Vatican has a railroad, despite its diminutive size as a country. It all comes down to history, as it always does.
So, back during the Roman Empire Italy …it was all together. But then the Roman Empire stopped existing …they eventually became part of the Frankish empire, which frankly sucked, and so Italy fell apart …into a bunch of city-states as it remained for the next 1000 years until people remembered how awesome the Roman Empire was and decided that Italy should be united once again. Everyone thought that was a great idea except the Pope who controlled this land—the Papal States.