"Union Station" is a name applied to many or most railroad stations across the United States and Canada. It would be easier to list the large cities whose train station is not named "Union Station" than those where it is.
The term "Union Station" comes from the 19th and early 20th centuries when train travel was still the most common form of intermediate and long-distance travel in North America. There were many passenger rail lines, all competing for passengers, and all with separate rail terminals. At a certain time, they would combine their services to one central location, the "union" station. However, since rail transit is now much less common and there is only one national passenger carrier, Amtrak, the name "Union Station" is just a relic, and is not very descriptive. With the exception of New York and Boston, Massachusetts, pretty much every train station in a major city in the United States has a "Union Station". While it might be a good idea to replace these names with more unique and locally-relevant names, there seems to be little chance that most of these "Union Stations" will change their historical names.