If you're getting someone to take their headphones off, you better have something good or different to say.

Give this a shot and see what happens:

Sit next to her.
This.

Then whisper:

You:Excuse me, are you Russian?
Her: Uh...no..wtf?
You: Well, its just....every time im on this train, I always see you on here watching me and acting suspiciously...I just get the feeling, call it womans intuition....that you're a Russian spy or something.
Her: lol...Woman's intuition?
You: Just as I thought......so, where are you going?

She might play along and say "I cant tell you Im a spy" or she might tell you the truth...in which case drop the spy shit and converse normally.

I like doing this kind of thing because, if I fail, at least I've made myself laugh....