I have the station coordinates, so you can start building towards it. If connecting to Deepmill, the coordinates are -130, -1653.
It seems the consensus is that it should be in the main playing world and not in the nether.
The station at Deepmill is underground, partially because it will act as a large hub so would require a lot of space. The tracks will go above ground shortly after leaving the station. If your town/city wants to build above or underground, either are fine.
If you are building a line, leave us your city/town coordinates!