I've looked at old maps and I'm fairly sure there were a few train stations at least in the foothills, but then presumably they've got to get to whatever little hamlet they're staying in. Oh and it's winter, by the way. Just in case things weren't complicated enough.
Would '20s/'30s cars be up to snowy roads? Would it be more practical to hire a horse-drawn sledge or cart? Or is there some amazing, Alpine-specific piece of transport that I know nothing about?
EDIT: Should've probably mentioned that my characters are wealthy Londoners and well able to afford any fancy type of transport, should it be required. The place they're heading for is a small village in a valley near the Swiss border, if that helps.