The narcissistic mother

Earlier we see Teresa searching (looking and calling from the rooftop). The search is continued after dark only by males. I presume the exclusion of females from the night search was a cultural thing Teresa couldn't contravene. Without being more familiar with the culture of rural Spain half a century ago, I wouldn't presume to judge Teresa's behavior according to today's U.S. standards.

(There's also a "crude" explanation; she knew it wouldn't do any good. They lived in a tiny village in the middle of nowhere on a vast agricultural plain. In that landscape getting "lost" was unlikely, and "hiding" probably wouldn't work. By far the most likely reason for a child not coming home was that child was dead. Remember the doctor's explanation to Teresa, that the most important thing was that Teresa's child was alive. What's implied is that in that town finding a missing child alive is quite unusual:-)

The address on the letter was Nice, France. In other words it was intended for someone "in exile", someone outside the country who couldn't safely return. The person who escaped from the train and was hiding in the old building is a returned "Republican" solder ...i.e. he was on the losing side of the fairly recently ended Spanish Civil War. Although it's not plainly stated, it's quite likely he is in fact Teresa's old boyfriend - the same person the letter was addressed to.

The train traveled a long way - it's probably more than coincidence that he jumped off at that particular point rather than somewhere else. (He could have known her whereabouts from the return address on a letter.) She knew he had been discovered and killed (but couldn't talk about it). She knew there was no point any more in mailing the letter, because its recipient was certainly dead. So she burned the letter. Later we see that with that fantasy firmly "closed", she puts more effort into her marriage, actually showing some affection to her husband by making him comfortable after he fell asleep in his chair.