You sound like a fun sister.
I would throw in some diapers for sure (be sure you melt a snickers bar in one so they get the whole "guess the candy poop shower game" vibe, a little mom's corsage she can wear, rice krispie treats or something that won't get as smashed as easily as twinkies.
the water gun is cute... how about some silly string? a print out sheet of a really corny baby shower game:
http://www.plan-the-perfect-baby-shower.com/free-printabl...
One cute and easy one, is simply a paper with A-Z on it. Then they both have to give a name (either boy or girl, depending on what they are having) that starts with each letter of the name. If any of the names are duplicates (like they both wrote Sara for S), it gets crossed off. Whoever has the most original names (if one put Susan and the other Sara) wins.