They started out the segment by waiting for him at the train he'd ride into town each day.
The last commuter train ran in Pittsburgh in 1989. It's conceivable he took Amtrak in, but that seems unlikely. Was it a subway?
I'm curious, because he sort of was my neighbor. WQED was right next to my high school, and their building is owned by my employer. (Carnegie Mellon University) He was one of those people you saw around, sometimes. Very saddening to wake up to the report that he was gone; Someone had left flowers at the display in Pittsburgh International Airport which included some information and items from the show (in C wing, something that's been there a while welcoming travelers to Mister Rogers' neighborhood.