Caravan is a Van Morrison song, but they only played a few seconds of it. Then Robyn said they couldn't play it, because they didn't know it, but that they could play a Van Morrison song. then he said, no, let's do Railway Shoes, which is the "same thing". After which, the dj's said something about being a sucker for songs about trains, which led to Rock 'n' Roll Radio Train.
--Tews