Well, trains that are out of fuel can't go anywhere at all.
What you do is you send the signal that it is a fueling station, and then you send a signal for the lower limit of fuel. Like, if you want the train to refuel if it drops below 20 solid fuels, you send "20 solid fuel". (If you are using LTN combinators, make sure the number you send is positive! LTN combinators will try to make the number negative, which won't work.)
This will build an interrupt that says if a train has >= 1 solid fuel and <20 solid fuel, the train will go get refueled. Note that it must have at least 1 of the specified fuel in the train engine inventory.
The interrupt gets built when the train goes to a depot.
And you have to have fuel stations enabled in your game LTN mod settings.