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 from outside the island following one of them. Characters from Thain originally, of course, can start off worshipping one of the island-specific gods. You may find that your actions attract the attention of the Thain gods and they or their followers may approach you. You may also read about them in books, item descriptions, or various descriptive placeables in-game.