[moggy]

"If you miss the train I'm on,
You will know that I am gone, "
1. 'I'm gone' mean 'I've left'?

Yes

" Lord, I'm one, Lord, I'm two, Lord, "
2. Does 'Lord' refer to God? How come the song keeps repeating 'Lord'? Is it kind of praying?

Yes, he could well be speaking to his god

" Not a shirt on my back,
Not a penny to my name. "
3. I think the lines describe the writer is a poor guy. Is it OK to say, "John doesn't have a shirt on his back" or "John doesn't have a penny to his name"?

Yes it is. If he doesn't have a shirt on his back he's extremely poor.

" Lord, I can't go back home this away.
This away, this away, "
4. Does 'this away' mean there's a quite distance (500 miles)?
Is it OK to rephrase it, "I can't go back home this far"? With no meaning changes.

No...it means "I can't go back like this. (No shirt on my back and no money) The line ends;"...this-a way" The "-a" at the end of "this" is merely a device the singer uses to maintain rhythm. It has no meaning as far as the text goes.
Moggy