I'd call The Lady Vanishes lesser Hitchcock but it does hit on some of his more common tropes. We've a train, a Macgufffin and a case of mistaken (or missing) identity wrapped up in this story of Margaret Lockwood's character searching for a vanished without a trace woman on a train. The search itself is rather compelling as is the interplay between Lockwood and Michael Redgrave (who joins in the search) but the movie quickly devolves into an extended allegory about England's hesitancy to fight Germany in World War II.
This is essentially the movie's downfall. The character's attitudes towards war are one note and exaggerated and those final scenes feel more like an infomercial than a satisfying ending to the story. Unlike something like The Great Dictator It doesn't really rise above its wartime allegory coming closer to a Mrs. Miniver.
It's still interesting and it still has some of that Hitchcock flair but its not among his greatest.