Quick question. All’s Well That Ends Well takes place in and around France, right?
So why does everybody keep invoking Roman gods? Diana and Mars are mentioned frequently. Was this story still supposed to be taking place in a time where Christianity hadn’t kicked in yet?
I know that Lear had this problem of mixing up his gods, but wasn’t his story a fairly ancient one?
The Winter's Tale is similar. Leontes cry of "Apollo!" After hearing of his wife and son's deaths can be heartbreaking when done well.
You're only noticing this now? How about in Measure for Measure, when Isabella (about to become a nun in a Christian convent) says "Could great men thunder as Jove himself does, Jove would ne'er be quiet." Or in Twelfth Night, when the puritan Malvolio says "Jove, not I is the doer of this."
Early modern playwrights were largely forbidden to use the name of God on stage. So they used euphemisms like "heaven" or the names of Pagan gods. This leads to several plays being anachronistically pagan.