The ticket collectors will confiscate it if they get wind of it. If you're desperate, however, and can prevent yourselves from getting really loud and annoying the other passengers, then get half a bottle of Coke and add vodka or Malibu to it (something that won't change the colour), and drink it discreetly whilst playing a drinking card game. You'd have to be very good at hiding the fact that you're playing a drinking game though - no cries of 'you did such-and-such! You've got to drink!' Plus, if you make the mixture too strong then other passengers will be able to smell it, and the game will be up.
EDIT: Actually, if you bought the alcohol on the train then obviously they wouldn't confiscate it... you'd still have to keep the noise down a lot though, because if other passengers complain to the ticket person then you'd be in trouble.