Found it! It's the Metro-Goldwyn-Mayer Trackless train. I can't find the exact puzzle picture, however from the buildings in the background, it could be Sydney. This Trackless Train was built in the US by Harry O McGee, of the McGee Manufacturing Company, Indianapolis. He built a few of these trackless trains, the first in 1917, and built a total of 16 Trackless Trains. In 1924 he modified his original 1917, which he later sold to MGM in 1925. The MGM Trackless Train did a transcontinental tour of the US in 1925-26, then went on a world tour. It was in Australia during 1928, and I'm guessing the girls are doing promotion work for MGM.
Edit: I have now found the picture, the caption to the puzzle photo is
"American women's jazz band "Ingenues" and the "Trackless Train", Sydney, late 1920's / Sam Hood"