I have a friebnd who used to be a baker in either the Central Hotel at the station or what is now the Millenium Hotel at Queens Street station. He was telling me that only one of the hotels had a bakery, so there was a tunnel between the two so that the morning rolls could be taken from one to the other.
This was about thirty or forty years ago so it may have been filled in by now.
Anyone got any proof/photos?