We actually dont KNOW that there are gods. Their are religions in Elyria. These religions each have their own gods, and I do believe there is at least one monotheistic religion. And there is a growing number of 'atheists' in Elyria. So we really only know the current lore of a single religion.
There arent player created religions, according to the devs.
The current lore I know:
Angelica - First god(dess)
Angelica turned her shadow into a living being named Luna - Second god(dess).
Angelica made Ao, god of life(third god).
Luna made Sanguine, god of death(fourth god).
Luna had a child with Ao(Angelicas 'husband') and created Mann.
Angelica and Ao had 2 children and Luna and Sanguine had 2 children. Those four are Terra, Oceana, Daemon and I can never remember the god of air.
Mann was banished from Haven and given souls to track their deeds through many lives.
This is the very VERY basics of the lore I have seen.