To be more specific, where Kay was. Home is where the heart is and his heart was with Kay.
To see that she was waiting at the train station, even though he already knew she would be there, calmed the agitation in his heart. He didn't like being separated from her for long, but he knew it was necessary.
The feeling that he experienced was akin to how a mother felt when their kids were away ... but different. Worse, in a sense, for he felt a part of him was missing. As a mother, it had been more like 'missing' and 'pining' whereas as a twin, it felt like you were incomplete.
However, despite that feeling, he could handle it. He knew they couldn't be together 24/7 and eventually, she would have her own family and such. They needed to learn to live separately.