The Danes in the story probably worship the same gods that the Anglo-Saxons did before they became Christians. The Anglo-Saxons became Christians in the 7th Century. The head of the Christian Church, Pope Gregory, sent Saint Augustine and a group of monks to England to persuade the Anglo-Saxons to become Christians. Also, monks like Saint Aidan and Saint Columba came from Ireland, which was already Christian, and slowly England was converted.
Before that time, the Anglo-Saxons worshipped the gods Tiw, Woden, Thor and Frig. From these words come the names of our days of the week: Tuesday, Wednesday, Thursday, Friday. (So Wednesday means Woden's day, Thursday Thor's day and so on.)
This is a small statue of the thunder-god Thor . He is holding the hammer that he makes thunder with.
Our word Easter comes from the name of the Anglo-Saxon goddess of the dawn, Eostre.
It took a long time for the whole of England to become Christian. Quite often some tribes of Anglo-Saxons would go back to their old gods, like the Danes do here.
