@The TrainBoard It sounds like this could be a mechanical issue with the speaker (hole, tear, or debris inside it)...
OR to my ears it sounds more like something, like maybe a loose screw or something, is vibrating sympathetically when certain bass tones are being reproduced with sufficient volume, enough to overcome the pull of gravity.
What happens if you pick up the locomotive and give it a gentle up-down and/or side to side shake? Do you hear anything rattling around?
Either way, I'd open it up and look carefully inside for loose parts and physical damage to the speaker or something stuck to it that doesn't belong.