Does Thain have its own gods? If so, how can I learn about them?
Thain does have its own gods, however as your character will likely to have come from the mainland, they will not have heard of them. Information on them is deliberately left to be found out in game. Because the gods have not been heard of outside of Thain (find out why in game!), it is not possible for characters to come to Thain following one of them. However, you may find that your actions attract the attention of the Thain gods and they may approach you instead. You may also meet other followers of Thain gods or read about them in books in-game.