While modern Hinduism has moved farther away from its Vedic/Brahmin roots, in Roman times (meaning Principate onward when trade with India increased) and Greek times (post-Alexander and especially Seleucid or greco-indian kingdoms) Hinduism would have resembled the Indo-European pantheon represented across all Indo-European language areas. Did the Greeks or Romans make direct connections between their gods and the Brahmanic gods the way they did with themselves or the celts?

For example I know Indra was heavily worshipped and associated with lightning, and who's father is Dyaus Pita meaning sky father, just like Zeus and Jupiter (Iou Pater)