There's reasons for what you are seeing.
A one-way rental into another country is always extremely expensive. Imagine renting a car in the USA and returning it in México......
Train services don't really work between Espagne and France for a good reason : there is a break of gauge in the railroads (Iberian versus standard gauge). Only exception is high-speed rail (TGV/AVE between Barcelone-Perpignan).
To solve your problem, there are intercity bus services (like Blablabus) that run between Saint-Sébastian and Bayonne or even the aéroport Biarritz/Bayonne, from where you do a one-way rental or catch the TER/TGV.
Advice : Driving is very expensive right now with fuel (diesel or petrol) costing 2€/litre and consider also that the autopista and autoroute between Saint Sébastien and Bordeaux are tolled.
Last edited by mlin32; Apr 2, 2022 at 2:03 am