Upvote:3
In at least some camps, inmates were encouraged to write, although certainly heavily censored, postcards/letters to family to allay suspicions of both families and international agencies like The Red Cross. Part of the motive also may have been so money and food was sent to inmates which were probably stolen.
Upvote:5
To expand on Jeff's answer, many of the journeys would take several weeks, moving from one transit camp to the next.
Prisoners were given post cards with idyllic scenes to write to family and friends to indicate how well they were treated and extoll the virtues of their new homelands in the east.
And indeed it was always possible (though risky) to try and write a note and let it slip through the wooden planks making up the side of the rail cars. But such notes would be unlikely to be found and sent on. Not just would the chances of them being found be small, censorship and plain old fear would prevent most people from trying to send them on if they did find them (and how to know where to send them? Or even have the means to if you did know?).
A note slipped from a train in France or Germany on the way to Poland would have to travel through Vichy France and fascist Spain to Portugal before getting to Britain. While possible in theory, in practice it'd be highly unlikely to ever arrive unless the person initially finding it was involved in the secret networks set up by the OSS and other organisations to help downed allied pilots get to England (and many of those were caught and sent to POW camps).
Far more likely is that someone after the war invented the story to have something interesting to tell. Not dissimilar to hundreds of thousands of Dutch and French (and no doubt others) suddenly having been part of armed resistance groups after the war, when during the war those groups numbered a mere few thousand in either country (of course more in France, as it's bigger, but in both cases a tiny percentage of the population).