Of course I chose to be atheist in a setting with actual gods Love Ember, she's the best girl. Nevermind that she gets her powers from a goddess without her knowledge, she's an existential nihilist who believes, essentially, that the gods help those who help themselves
In the setting, atheists are just people who look at the divine acts of the gods and go "Yeah so what if they've got super powers, I'm still not worshiping Dr. Strange or Superman"