You should be able to tune an identical database on the local development server using trace data collected from a remote production server (Express).
But you cannot use trace tables stored in the remote server to do this. According to Considerations for Using Database Engine Tuning Advisor, "Database Engine Tuning Advisor cannot tune a workload in a trace table that resides on a remote server"
But I guess you are using trace files, so this should not be an issue.
If you don't get any recommendations, you should first check the list on the previously mentioned MSDN page:
Database Engine Tuning Advisor might not make recommendations under the following circumstances:
The table being tuned contains less than 10 data pages.
The recommended indexes would not offer enough improvement in query performance over the current physical database design.
The user who runs Database Engine Tuning Advisor is not a member of the db_owner database role or the sysadmin fixed server role. The queries in the workload are analyzed in the security context of the user who runs the Database Engine Tuning Advisor. The user must be a member of the db_owner database role.