There is no paradox here, and no laws of physics are violated. It requires an understanding of the difference between a finite change and an infinitesimally small change. We normally think of velocity as a finite change in distance with respect to time, but in fact that is not correct. If you remember from calculus that v = dx/dt, it is clear that both the mosquito and the train are at zero velocity for a distance in the limit in which the time is zero. For all practical purposes, neither the mosquito nor the train are ever at zero velocity. Obviously, the mosquito does not stop the train.