"Shamanism" is a word/concept I failed to use but would've made more sense.
The lightening god bit was just an example. Other deities based on natural objects and forces - the sun, important animals - also account for a reasonable amount of important gods.
Zeus wasn't the first god in any sense. He is a complete, complex character. That sort of thing doesn't spring from nothing - that character was built over time in stories by many, many poets.
My main point was that while of course you can't jump to something along the lines of a Christian God with complex powers and desires without some sort of precedent that doesn't matter because there is plenty of precedent. Small, additive steps all the way back to "your father is still with us, young warrior, he will watch over you as you make us proud."
Or, rather, further than that. Whenever people were figuring out that it's a good idea to bury the dead and that you can gain power/comfort people by telling them you have special revelation/powers.