I don't think this analogy hold up all that well.
For the commuter example (at least in the US), often the first leg is a drive (in a car) to the train station. When the commuter-rail train gets to its destination, you don't have the car anymore, so you want to be as close to your destination as possible. Even then, if I have to take a local train from there, and something goes wrong with it, at least I can probably get a taxi or something.
Regardless, in your airline example, I would probably want (B), not (A). If I were to choose (A), and there was a problem with my short-haul local flight, I'm probably missing my long-haul connection, which will be more difficult to re-arrange. If I take the long-haul flight first, and something gets messed up with the short-haul connection at the destination, I likely have more options, possibly even including a train or car. Sure, the worst case might be worse (I get stuck at the connecting airport and need to get a hotel overnight), but I think the average case is probably better.
Sure, if I want to bail on my trip if anything goes wrong, the short-haul-first approach works better, but I don't think there are many situations where I'd want to bail rather than finding another way to get there.
But overall I'm not sure the main issue is when things go wrong. For commuting, there are still benefits to the happy path when the connection is closer to the origin. If the train station is next door to my house, but the station on the other end is 15 miles from the office, that's still a pain to deal with. The opposite is much easier.