The conductor says this because people are far more likely to give up their opportunity to get on the train that is presently in the station if they believe that a less crowded train is just a minute away. And if in fact it isn't, then the conductor doesn't have to deal with the angry passengers after they realize that they've been duped, since the first train is far ahead by then. Therefore, it seems that the conductor has an incentive to bullshit the passengers as a crowd-control method.
[I'm deliberately using the word "bullshit" instead of "lie". Harry Frankfurt writes, in On Bullshit,
It is impossible for someone to lie unless he thinks he knows the truth. Producing bullshit requires no such conviction. A person who lies is thereby responding to the truth, and he is to that extent respectful of it. When an honest man speaks, he says only what he believes to be true; and for the liar, it is correspondingly indispensable that he considers his statements to be false. For the bullshitter, however, all these bets are off: he is neither on the side of the true nor on the side of the false. His eye is not on the facts at all, as the eyes of the honest man and of the liar are, except insofar as they may be pertinent to his interest in getting away with what he says. He does not care whether the things he says describe reality correctly. He just picks them out, or makes them up, to suit his purpose.
I don't know enough about the subway system to know whether the conductor knows when the next train is coming, but the conductor doesn't seem to care.]
The problem with this ruse is that it only works once. Fool me once, shame on you; fool me, you can't get fooled again. After passengers realize that the conductor's announcements about "another train directly behind us" have no basis in reality except by coincidence, they begin to disregard these announcements and to pack themselves into overcrowded trains regardless of the conductor says. Thus it becomes useless for crowd control even in cases when there really is another train right behind (and the conductor knows it).
This makes me angry not because I sometimes have to wait a few extra minutes for a train; it's because it undermines the basic foundations of society. The subway is a large number of people crammed into a small space, and the only thing preventing an explosive situation is adherence to an unspoken social contract. In addition to "subway etiquette" (step all the way in, etc.), this contract includes basic trust that any information provided by the authorities is accurate to the best of the provider's knowledge. When information is provided without regard to its truth value, the social contract is breached, and the subway management is complicit in pushing society toward chaos.