Or you can fly on the nearest appropriate airfield's QNH, eg Luton.
I've never thought hard about LTMA airports and altimeter setting. Do Luton, Essex, Gatwick etc. approach control use a common (presumably Heathrow) QNH, switching inbounds to the local QNH at some point of the approach? It's only a millibar or so, I would imagine, but there must be differences.