Pamplona's railway station serves the city itself, a regional capital in Navarre, northern Spain, and the honest insurance question here is really about Pamplona and its surroundings rather than the station as a destination. Yes, travel insurance is worth carrying for a trip built around Pamplona, and the clearest reason is San Fermin, the July festival built around the running of the bulls, which brings a real and well-documented injury risk during its roughly nine-day run each year.
Pamplona has solid city hospital care by Spanish and EU standards, and routine treatment here is generally reliable; the honest gap for most visitors is less about facility quality and more about what their own coverage actually includes. Check whether your existing health cover extends abroad and specifically to Spain before you travel, since EU residents may have different entitlements under a reciprocal health card than visitors arriving from outside Europe, and this page cannot know which situation applies to you.
San Fermin itself, held each July, draws visitors specifically for the encierro and the surrounding street festival, and injuries from falls, goring, and crowd crush during the bull runs are a genuine and recurring risk rather than a generic warning. Confirm your policy does not exclude bull-running or festival-related activity as an excluded event, since some general policies treat participation in the run itself as a high-risk activity requiring separate cover.
The Pyrenees rise close to Pamplona to the north, and hiking in this foothill country is a real draw for visitors extending their trip beyond the city, though conditions vary enough by route and season that a general hiking benefit, rather than anything highly specific, is the sensible baseline to confirm. Keep any clinic paperwork, festival-related incident reports, and receipts for treatment if something goes wrong during San Fermin, since claims tied to a specific festival date benefit from clear documentation of when and where an injury occurred.