Sins Abell ~Higureshi Sora no Tooku~

A wave of witch hunting struck a peaceful town 400 years ago. Among the burned victims was one girl, but the same night everlasting fire covered the whole town in flames.
Main character comes from a family of a legendary demon hunter. He was attacked by the evil spirit in his childhood, and now he continues his hunt for demons.
One day an unmanned train with all the passengers disappeared appears on the TV. Protagonist's magical sight detects a demon of unprecedented scale. He sees an image of all the passengers burnt alive - yes, just like witch hunting.

[From vndbreview]