A popular train line out of London has an electrical problem like this with one of the train models run upon it. Whenever these trains, travelling about about 100mph, cross from one power section to the next with the front the train entering one, and the rear leaving the other, there is some weird electrical event that causes a safety mechanism to violently retract the rear pantograph[1] (maybe more than one). This causes an almighty WHACK on the roof which scares the bejesus out of any visitors not used to impact noise. I've seen at least one coffee ejected from a cup onto someones trousers because of this. The train progresses unharmed.
Are you sure this isn’t just the pantograph passing through the neutral section? They have these on long runs where the power is supplied from different sources (resulting in sync issues). There are circuit breakers at these points which on some trains makes a very loud ‘clunk’, which stops the train trying to draw current through . The other type of ‘clunk’ you get on some trains (although not the ones you are describing) is the pant going up/down on combined AC/DC lines.
It could be circuit breakers, yes. They would need to be big devices, though. It is very loud. Best I can come up with is someone dropping a shopping trolley on the roof from a storey or two high. I got the pantograph information from a rather "train-nerd-I-love-my-job!" sounding driver over the tannoy one evening perhaps two years ago. I may have misheard!
They are the circuit breakers. Our trains in Brisbane, AU run 25kV (Thameslink seems to be the same 25kV overhead, with a 750V third rail, but this will be the overhead section) and the circuit breakers trip during the entry/exit of a neutral section, causing an almighty bang as they kick out and back in. If you're sitting in the wrong carriage directly underneath them it's very loud.
For reference, 1kV arcs across about 1cm of air, so 25kV needs a full foot of space in air (obviously less with a dielectric, but you get the orders of magnitude).
Source: I design trains for a living, though on the mechanical side
[1] https://en.wikipedia.org/wiki/Pantograph_(transport)