midnight express; late-night express
Refers to a train or bus service that runs late at night, typically after regular hours. Often used for special overnight or early-morning services.
I went to the airport by the late-night express bus.
A midnight express runs on this line.
終電 is the last train of the day, while 深夜急行 is a specific late-night express service that may run after the last regular train.
夜行 refers to overnight travel in general, whereas 深夜急行 specifically denotes an express service running late at night.
Compound of 深夜 (shin'ya, 'late night') and 急行 (kyūkō, 'express'). The term is straightforward and modern, with no obscure historical derivation.