I am very much interested in learning more about the "jumped the train" account you report. I have encountered other stories of men escaping from the train en route to Fort Delaware from Camp Morton in 1863.
Prisoners surrendered at Vicksburg were released on parole, not sent off to POW camps. The exception was about 1,000 who refused to be released on parole and were sent north to Camp Morton while the Federals decided what to do with them.
Individual prisoners captured outside of Vicksburg during the siege (escaped through the lines, or captured on picket duty at night) were sent to Alton, Illinois as POWs, and then transported across country as paroled prisoners to City Point, Virginia where they were delivered to Confederate authorities. The Dix-Hill Cartel was still being honored by the Federals, but it would not be for long.