Most likely, "Saturn" was retained as a solution for the problems that arose when Germans tried to translate the seven day week.
First, the tradition of a seven-day workweek, with all weekdays being named after planets, was adopted by Northern Europe from the Mediterranean Latin and Greek cultures; that's a pretty straightforward matchup: Thor was Saturn, Tyr/Tiu was Mars, Odin was Jupiter, Freyja was the personification of Venus, Sunna was the personification of the Sun, and Mani was the personification of the Moon.
This is all largely the same as in the Latinized week, and you can see it pretty easily in French (or any other Romance language): "Lundi" is "Luna's Day", "Mardi" is "Mars' day", "Mercredi" is "Mercury's day", "Jeudi" is "JUpiter's day", and "Vendredi" is "Venus' day"; today, the remaining words are "Samedi" (a corruption of "Sabbath", "Sabato" in Italian) and "Dimanche" ("Domenica" in It., or "Holy Day"), but these are Christian imports. The words for these days were originally, in Latin, just as they are in English, today: "Sunday" was "Dies Solis", or "Day of the Sun", and "Saturday" was "Dies Saturni", or "Day of Saturn".
What should be obvious from the above is that the Norse didn't just transliterate the days of the week in perfect order, but adapted them according both to the characteristics of their gods as well as to the order in which the planets were named in the Latin/Greek tradition. Largely, the order was preserved, but one important substitution was made: Mercury, being the planet of the god Loki, the great traitor and progenitor of all evil, dropped out. Thus, Jupiter shifted forward to take its place as "Wodin's Day", as did Saturn/Thor for the fourth day, making "Thor's Day".
So -- how did the one Latinized form, Saturn, creep its way into English? Because there were only five planets back then, and Mercury/Loki, the traitor, wasn't something the Norse much wanted to use in their day-to-day time-telling. So that left four planets (Venus, Mars, Jupiter, Saturn), + Sun & Moon. One day was left over. Some word was needed to fill it.
Presumably, Mercury was out regardless of what name it used (i.e. -- the Norse didn't want to use the word in any language, even a foreign one), so which other planet should double up? "Saturn" was a word that represented time itself (going back to the Greco-Roman tradition of Kronos/Saturn), and was a deity whose characteristics and qualities didn't correspond to any other in the Norse pantheon. Further, it doubled up on Thor, who was a beloved deity to the Norse and the great hero-leader/tragic figure of the entire pantheon. Finally, since "Thor" and "Saturn" sounded completely different, there was no reason to even bother with inventing a new word: "Saturn's Day" could just remain in place, without bothering to change a thing. Thus, Saturday stuck.
Long story short: we can't really be sure of the exact mechanisms, but this is probably something close to how it happened.