Actually, there is a rather fine event at Christmas time- its called the Horniman Carol Concert. I have always thought that more could be done however in the gardens on the day, ie better lighting, hot dogs. there was an indoor market this year but apart from Santas Grotto not much else. A European Style market could be good, as well as an ice rink created in the old pool at the bottom.
It would be a good attraction however these things probably are expensive to put on for one day only and there may not be the necessary footfall to make it work.
However what you propose is a great idea. Perhaps talk to the museum staff to see if something can be done? It will probably need a promoter and formal organisation.