NO, it won't.
The fly inside a train compartment is in a closed system. When the train moves, the air inside the compartment moves along with the train. The fly will be carried forward by the moving air.
Should the air inside the train compartment not move together with the train, you would expect to feel a very very strong wind blowing against you when the train is moving (with wind speed of 80 km/h if the train is travelling at 80 km/h, such wind force is of gale force wing).