It seems a lot of parents have this conception of "gay nights" in clubs as being seedy, sexually orientated, drug addled, you name it it's there.
And sometimes it is.
Just like sometimes it is with straight nights.
Unfortunately, it has greater emphasis when a young person is gay.
Sweetie, I have had countless similar experiences like your own, and I find the best thing to do is talk to them about it.
Assure them that it's just a club, with ordinary people who happen to be gay. Assure them you'll stay with your friends, that you'll all stick together, that you'll only get a lift home with your parents or with one of your friends. Make all the assurances you would if this was a "straight night" but double them.
I got around my parents by just explaining, keeping lines of communication open, builiding up a trust, it's come to a stage where there is no argument now, because my mam trusts me not to allow anything I see to lead me into more trouble than I should be in at my age.
Talk to them again, but, you also have to face facts. If they won't let you go, then I don't think sneaking out the bedroom window at night will help matters, and will guarantee no changing of their minds for the next night.