After a couple frustrating attempts at the train and beating Shao, I've come up with a way to kill her for Zero that should result in no death (it did for me, twice in a row,) and a couple(somewhat obvious, but still possibly helpful)tips for escaping the train.
Note: Most of this relies on the skill "Time Holding" so if you're too low to have that skill, this may not be as helpful, but you still might find a couple tips.
- Always head to the left (<) as that's where the last car is and the explosions you have to escape from start on the right (>)
- Stay on the top for as much as you can as there's less things to block you and allow the explosions to catch up to you.
- When you do need to head down, just jump near the edge of the top of a car and you should get inside the next one.
- Don't kill any of the monsters, just repeatedly press your potions and walk past them.
- (If you're Zero.) Make sure you have your "Rewind" on if you're high enough to have it. If you make a mistake and the explosions are in view, use "Time Holding" and try and get as far ahead of them as you can.
- After the fight begins, attack her until she teleports. (She can teleport in front of you, occasionally, so if you have "Rewind" I do recommend having it on, just in case.)
- When she teleports, immediately press double up-arrow onto one of the (clear, no enemies on it) above platforms.
- Wait until you hear four (4) explosions. That's when you know that there's no longer any leaf bugs down below. (The leaf bugs will kill you within one hit.)
- Jump down and continue attacking. Repeat this until she starts spawning her giant flame spell.
- When she begins spawning her giant flame spell, immediately press on "Time Holding" and press double up-arrow to get on top of one of the higher platforms, just like before.
- Wait there until it finishes, and jump back down.
- Repeat the first four (4) steps until she's dead.
I hope this is helpful to anyone stuck on Shao. I couldn't find any other guides on this.