In short, not really, they've been interchangeable for quite some time as they are today. In every day usage there is obviously little difference between the two terms. However, originally, the word heathen comes from Germanic contexts, pagan comes from Latin. In Old Norse and Old English, heathen, is seen in heiðinn and hæþen, in modern German the word I believe is Heide. In medieval accounts heathen, or rather the vernacular equivalents, were used relatively interchangeably with variants of gentiles, pagans, Danes, and pirates (if the example is from Anglo-Saxon England particularly). Religious traditions such as Germanic paganism, Mesoamerican religious traditions, and Islam have all fallen under the category of pagan or heathen at various times.

In academic writing in the past several decades the words have fallen out of favor, particularly when describing still living religious traditions. I for one cannot imagine anyone describing Hinduism or Shintoism as paganism or heathenry in an academic work due to their extreme negative connotations. However there is a certain preference for pagan over heathen, unless dealing specifically with Germanic paganism, in dealing with historical, and modern revivals notwithstanding, extinct religious traditions.