I have not read Gaiman's work, so I am merely responding to what you state to be the premise (and what I vaguely know to be the case).

European folklore is filled with examples of things that could be regarded as relics of pre-conversion belief systems, but that said, there is no evidence of the often advanced idea, a rather romantic construct, that the pre-conversion "religion" went underground and survived in the face of pressure and opposition from the Christian Church.

Conversion was neither perfect nor complete and in different places it took more or less time for the process to reach a new balance, but what emerged from the conversion process was for the most part absolute from the perspective of most Europeans (a few places can be regarded as exception to prove the rule). European Christians regarded themselves as converted, and they did not typically regard any aspects of their folklore as belonging to an alternative, older way to address the supernatural world. In some instances, the relics embedded in their folklore was exactly that - remnants of an older way to address the supernatural world, but this does not mean that people regarded those elements in their culture in that way. All analogies are imperfect, but in a way, we can regard these relics the way we now consider elements of Neanderthal DNA embedded in modern Euro-Asians: those relics may exist, but people were cheerfully passing their DNA on from generation to the next without knowing about that aspect of their genetic legacy.

So then the question of immigration needs to be addressed. Immigration was in itself disruptive to Old World belief systems: some things survived the transit, but even less survived into the next generation. There are some examples of Old World folklore surviving and adapting quite nicely, but these are unusual. Since there is no real way to assert that immigration-era Europeans retained pre-Christian beliefs in any significant way, it is doubly problematic to assert that those beliefs could survive the crossing of the Atlantic.

With all that said, there was, of course, a literary awareness of the pre-conversion belief systems, and this was the matter of much Romantic-era music, art, and literature, but this was not a matter of folk belief. In some circumstances, this has served as the basis for revival movements - a particularly impressive one in Iceland, but also the nineteenth-century Druids and the various manifestations of wicans and Neo-pagans. Then there is also the minority situation in some places in the Baltic states where pre-conversion belief systems were able to hang on tenaciously, but not without being affected by Christianity. Even in Scandinavia, the medieval conversion seems to have been superficial in some ways, but the Reformation and the fierce thoroughness of Lutheranism extinguished whatever flames fluttered in the shadows.

All this adds up to not much if we were to consider weaving the threads of surviving pre-Christian beliefs into some sort of cohesive fabric. But literature is another thing, and Gaiman is free to imagine whatever he wants.