I answered a similar question a bit ago. In short, they're not named after gods, they're named after the heavenly bodies, ie. the sun, moon, and the planets in the following order, Mars, Mercury, Jupiter, Venus, Saturn.

This is how the Romans labeled their days and you can still see this in Spanish for example, lunes, martes, miércoles, jueves, viernes. The names for Saturday and Sunday were later changed when the Roman Empire became Christian- sábado (sabbath) and domingo (dominicus).

The names of the days named after planets were localized to Germanic deities in a poorly documented process known as interpretatio germanica. This would have been some centuries prior to the Norse period, around the 1st century AD. Though the Norse language is a Germanic language and that's why the names in English line up with the Norse gods of some centuries later. As for why Saturn wasn't adapted, it's not really understood.