This is a replica of an 1829 Stephenson's Rocket built for the 1923 film "Our Hospitality."

You can watch the full movie here:    • Buster Keaton - Our Hospitality 1923 ...  
The locomotive also appeared in "The Iron Mule" (1925)    • The Iron Mule (1925) Al St. John  

After that movie, nobody knows where the replica locomotive went.