Hertz.co.uk says Watford closes at 11.30 on Saturday !!!
Milton Keynes is another option, closing at 12.30 on Saturday. From there it's a very quick train ride into London (assuming no engineering works...)
Actually, isn't the best idea simply to drive all the way to Gatwick, drop the car, stay in an airport hotel and take the train up to London for the evening? It's only 30 minutes.....