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Does anyone know what they went to after the Z?
According to these on-line excerpts from the Postal Bulletin, the designation of "Philadelphia - Station Z" was changed to "Philadelphia - East Falls Station", as of July 1, 1916:

Maybe they were forced to make these changes after they ran out of letter designations. They seem to have done the same thing around the same period of time in other major cities such as New York, Boston, Chicago, etc.