My first train /Good luck/

The first is what algebra and mystery have in common — and what you name your unnamed RPG character.
The second letter is "I jump, I juggle, I join, I jet, but you'll never see me in the alphabet's first set."
The third is a classic — roll in most souls games.
The fourth is a digit — halfway to ten.
The last is not a capital — but it holds the key to the map.

XXXxx