Factual error: When the train is travelling away from Paddington Station, the locomotive does not have a number on the buffer beam, but has a number plate on the smokebox door. It also has a large 'British Railways' symbol on the tender. In 1940, the Great Western Railway would have had the number on the buffer beam and a either a small GWR logo on the tender or Great Western in full. British Railways wasn't created until 1948.
Factual error: During the opening WW2 battle scene, the German pilot's boots have modern Vibram soles. (00:01:00)
Factual error: The locomotive Bradley Manor has a British Railways number plate on its smokebox door - at least 8 years before Nationalisation. GWR locomotives had their numbers painted on the buffer beam.
Answer: It was never mentioned in the book or the movie that breath wasn't visible, so it is a mistake.
Phixius ★