All so often old or religions of native people aren’t given names but instead just called [Insert Civilization] Mythology. So what were the actual names used to describe Nordic, Aztec, Roman, Greek, or Egyptian mythology?
The problem beneath your question is that there is a substantial difference that separates organized, institutional modern religions and the belief systems and ritual practices of ancient civilizations. There are examples when these ancient ritual practices became important and institutional parts of society, but they were not referred to with a single word that is analogous to "Christianity," Islam," or "Judaism." The importation of Eastern "mystery religions" comes closer to the modern concept of what we think of as a "religion," and we refer to these as the "Cult of Isis," the "Cult of Dionysus," or the "Cult of Mithra," but these were very much a different species, separating them from the state rituals and old stories surrounding the devotion and practices associated with the local supernatural beings.