How did the pagan gods come into being?

In the show it seems like several mythologies are true all at once, for example the Prometheus story, Baldur having beef with Loki for obvious reasons, etc.

Since it's established that Christian mythology is canonically true in the show, how do pagan mythologies fit into the narrative? Did God create a bunch of "god" beings for the fun of it, or are they tulpa-esque entities manifested into being through peoples' beliefs, or something entirely different?

Or am I overthinking and the answer is "it ain't that kind of show kid, they just ran with whatever felt nice"