Change single word in all posts in a blog

Are you saying, for example, every time the word “the” shows up in a blog post, you want to change it to “that”?

Yes exactly.
Or another example – Changing every time the word “Train” to “Bus”.

For an easy fix you could try https://net.tutsplus.com/tutorials/javascript-ajax/spotlight-jquery-replacetext/

I was sure I saw a wp-plugin which can do that…

I try to avoid plugins but that’s up to you. I don’t know of a wordpress function to replace a single word so jquery/javascript is probably your best shot.