This is basically the source material for the DVD only bonus episodes that rounded out the Baccano anime; originally written for a CD drama not all that long after the original novels, Narita took this occasion to expand it into a full length book.
As such, there's a lot more in here than the anime actually covered; about half of it is dedicated to Chane's inner tumoil, and the other half devoted to retconning immortal characters created later on into the events on and around the Flying Pussyfoot incident. Apparently two of them were actually on the train, yet never interacted with the main cast.
Most of the additional flashbacks feel unnecessary -- almost like self-fanfiction -- so it is the core OAV story that proves the real attraction here. But I also have to give Katsumi Enami props here -- while the anime kept Rachel dressed in the clothes she wore on the train, Enami draws her in two different period outfits. This had the side effect of making her unrecognizable.
I also enjoyed the framing sequence, where Graham Specter makes the mistake of attempting to rob Carol and Gustav Saint-Germain.