Saturday is the single weekday in English that keeps its Roman planetary name completely unaltered: dies Saturni became Saturday with no Germanic god substituted in its place, unlike Tuesday through Friday. No Germanic deity was judged an adequate match for Saturn, the outermost of the seven classically visible planets and, in Roman religion, an old agricultural god of the harvest whose Germanic counterpart, if one was ever proposed, did not displace the Latin name the way Tiw, Woden, Thor and Frigg displaced Mars, Mercury, Jupiter and Venus. Sunday and Monday needed no substitution because their Latin names already matched ordinary Germanic words for the Sun and Moon; Saturday is the harder case of a genuinely untranslated Roman planetary name surviving intact for reasons scholarship has not settled with certainty.
Saturday closes the seven day cycle that the planetary hours generate, and at the following sunrise the first hour passes to the Sun, three places on from Saturn in the Chaldean order, beginning the week again with Sunday. The whole seven day structure, from Sunday's opening hour to Saturday's closing one, is therefore a single continuous loop rather than seven independent days, and Saturday's position at the loop's far end is what gives it its consistent association across traditions with endings, limits and consequence.
Sources Norse Mythology: A Guide to the Gods, Heroes, Rituals, and BeliefsJohn Lindow with Deutsche MythologieJacob Grimm