As both the mother of a train-obsessed child and a refugee from grad school in history, I was delighted to find a Wikipedia article on the history and geography of the Island of Sodor, home of Thomas the Tank Engine. It’s not quite world-building on the Tolkien scale, but it’s a step in that direction, and more than I would have imagined. According to the article, Thomas’ creator, the Rev. Wilbert Awdry, based Sodor on the British Isle of Man. Man is part of the Church of England diocese of Sodor and Man, but there is no real Island of Sodor.
Wilbert and his brother George worked our further details of Sodor, including language (“Sudric,” based in part on Manx), geography (Thomas’ branch line runs from Knapford to Ffarquhar), and history. They described it in The Island of Sodor: Its People, History and Railways, which is unfortunately out of print. Wilbert’s son Christopher tried to cover some of the same material in his Sodor: Reading Between the Lines, which has not been published in the U. S., though Amazon.co.uk has it. (Amazon.com U. S. has a boxcar’s worth of Thomas items in their special Thomas and Friends Store, however.)
I also came across a site titled The Real Lives of Thomas the Tank Engine, which has a detailed history of Sodor and a number of maps, as well as a correspondence between the fictional engines and their real-life counterparts. The authors claim the material to be based on Awdry’s writings, which I have no reason to doubt, though I can’t verify it myself.
All of this information would likely overwhelm most preschoolers, but might interest older siblings (as well as history-geek parents like myself) who have outgrown the Thomas stories and shows.