Possibly because the concept of religion that you're using can't be applied to the Greeks and Romans. Islam refers to a set of canonized beliefs, based on interpretation of a holy text. Even if there is much disagreement about what those beliefs should be and what that holy text means or says, following Islam (or Christianity or Judaism) means that you are adhering to that one religion, and no other. You can't be both a Christian and a Muslim, generally, since these religions (in their many forms) project themselves as being mutually incompatible. For a historian like Fred Donner, whether or not you buy his main arguments, Islam only became its own religion when it began excluding Jews and Christians from Mohammed's movement.

But for Greek and Roman religions, there are no correct beliefs a worshipper has to follow, no holy texts. The word religio in Latin doesn't even mean what we mean by religion. You might be expected to follow correct practice (that is, by enacting the rituals in the proper way), but generally, worshipping Jupiter Optimus Maximus in Rome didn't mean that you couldn't worship Zeus Olympias. If you were a Roman in Germany, you might assume that a Germanic tribe's war god was simply Mars under another name, or that a local heroic figure was Hercules (as Tacitus' Germania suggests). So there is no real way to limit Greek and Roman religions as there is with modern Judeo-Christian religions; and that makes it very difficult to call something "Greek Religion" in the same way we talk about Islam or Judaism. There was no incompatability about worshipping Greek, Roman and Egyptian gods at the same time. I can't speak for Norse religions, though, which I know little about.

It's also worth pointing out that the study of ancient mythology is distinct from the study of ancient religions, with some overlap. What we call mythology might be called the religion of the poets by a figure like the 1st century BC scholar Varro.

Obviously this is a very general response to what is a huge question and there's a lot more room for nuance and detail in this answer! For some introductory books on ancient religions, check out Walter Burkert's Greek Religion and Rupke's Religion of the Romans.

We actually do have one term like this for Greek paganism, or at least "the kind of paganism present in the eastern half of the Roman empire in Late Antiquity": Julian the Apostate (Letter 22) calls it "hellenismos" (Ἑλληνισμός). This seems pretty clearly done to define the religion in opposition to Christianity, but it seems to have been serviceable as a "name" for the religion at least during this period.