The transfer track in NL2 has only a brake segment as type available and only one track on which a train can move (designed to rank trains in seperate storage spots). The storage track can´t be used in a closed circuit.
The only possible solution would be a custom train with a fully scripted coaster and a custom made train.
You could fake it with an switch, rails set to invisible. The train would travel not realistic, but it would be operational =) Maybe others have some better solutions for this.

I know the Celen2 park somewhere on the workshop has one. Probably uses a mix of custom models/scripting and engine abuse. I'm not sure how they got it to work though, but I know for sure it's related to custom models/scripts. Those aren't my specialty unfortunately.

Hi!
Yes, Celen cheats a bit as far as I know. Granted I don't know for sure, but by ignoring all the warnings and playing with the coaster in NoLimits' own manual mode, I believe it just switches and moves the trains very fast within a real, classic, transfer track like you'd do on any coaster while slowly switching the custom 3d trains out of the main track to keep the illusion. But yes, CGW know how to script those things, they're really good at it.

I devised a way to do it a bit more easily with minimal scripting and default coaster styles (no 3d trains), but you'd need a block before and after the transfer shed (which Celen actually has, as do many real CGIs).
I never used this idea, so it's untested, but it should work: you just need to setup the previous and the next brake as transfer tracks as well, and add to that a transfer track for each of the tracks in the storage shed.

Now, imagine a main track + 1 storage at its right case.
You need 4 transfers (previous block, main track, storage track, next block), all with 2 exits.
Connect the left track of the previous and next transfers to the right track of the main track, and the right tracks of the previous and next transfers to the left track of the storage track.
Now align the main track and the storage track transfers so that the tracks you connected overlap. The previous and next transfers should have separation 0.

Last comes the scripting: you need to ensure that all four tracks move sychronized, but when the previous and next go right, the transfer shed ones go left and vice-versa. You also need to ensure that the previous and next transfers are in the position you've connected to the rest of the circuit when coming in and going out of this madness of transfers.
You also need to ensure that the storage track doesn't try to let the train go in auto mode, but be careful because if you lash the train to the track, you'll have problems if you later change modes in NL2, as NL2 doesn't expect a train in a transfer track to be lashed.
Other than that, if the four tracks are synced, it actually should work, and the same should be extendable to 3-track, 4-track and whatever-track sheds, just adding more transfers and more connections.

I hope my mental madness translates to something understandable when read. In summary, you make the dirty tricks with the previous and next blocks, with hidden transfers, and in the shed have purely visual transfers to fake the effect.

If you have questions or didn't understand something, feel free to reply back. It took me a while to find this thread, but I expect to be a bit more active around here from now on, so I'll keep an eye out. ;)

Cheers,
Dragón Groar