HPN (White Plains) and rent a car is another alternative. It's a very easy drive on the weekends from White Plains to New Haven.

Islip (ISP) is closer than Boston is, and is another alternative.

If you are using one of the New York airports, you can take Amtrak at 12:35 am and get into the city at 2:20 am if you want a very early flight.

The first Metro North Train is at 4:11 and gets into Grand Central at 6:37 am, figure another hour or hour and a half to get to the airport (depends on which airport) for figuring the flight times.