According to Shabbos 103a, you're chayiv for writing two letters becuase that's how they marked the boards of the Tabernacle. However, 103b specifies that just two lines would count too.
He is guilty only on account of making a mark, because marks were made on each of the boards of the Tabernacle to know which was its companion. Therefore if one draws one line across two boards, or two lines on one board, he is culpable. - Shabbos 103b
In the game of EuroRails, it would be patur (not mutar) to only make only one line, but if you make two lines, you would be chayiv d'oraita. Not a very long game.
The Crayon itself would be mukzah as well. Even though it's considered part of the game, it would still have the form and function of a crayon used for drawing and writing, the more familiar uses of a crayon, and indeed, halachically, as I said above, its use in the game would be considered writing.