They're conductors in the sense that they're "conducting" the runaway slaves to safety. They're helping to provide the slaves with a means to escape slavery and make a bid for freedom. In Whitehead's story, the underground railroad is presented as a literal rather than a merely figurative expression, in that there's an actual railroad network in place to help runaway slaves to escape. One of those involved in the underground railroad is Martin, whose father used to be the operator of a now disused station in North Carolina.
In real life, most of those slaves who escaped via the Underground Railroad did so on foot, by boat, or by wagon. Only a relatively small number actually escaped by train. It is this minority of runaway slaves that forms the basis of Whitehead's epic novel, which won the 2017 Pulitzer Prize for Fiction.