There are three possible solutions for that.
First:
Alt+Enter to switch to window mode. Then again Alt+Enter to switch back.
Second:
Delete the Seetings.lua file in the Steam userdata directory: ~/Library/Application Support/Steam/userdata/<user-number>/304730/local
Third:
Run Train Fever by right-clicking Steam in the Dock and then click in Train Fever, as it’s one of the most recent launched Games in Steam.