Bethlehem was their assigned FEMA site. They didn't have trains to load people onto at that time. The star overhead was actually an alien spacecraft there as spectators to what they knew would become a game-changer, seeing as how they have time travel and all. The Three Wise men were undercover census agents sent to determine how many people lived in the manger, and stopped because they realized Joseph and Mary were harboring a fugitive. The frankensense was a tracing element to prove their visit, and the Mir contained a tracking device.
It's all true. You can ask rjb and he'll confirm.