I think having more of this Greek Myth aspect in Sea of Thieves would be great. Even if Athena was nothing more then a call back to the code name for SoT, it's something that should be explored.
It's a good question, though it doesn't necessarily have to be by the book, there is the Greek lore but then there is films and games that have a twist onto what we know. Like the Kraken being the spawn of Hades, which is from Clash of the Titans.
In Pirates of the Caribbean, the Kraken is basically Davy Jone's pet that he summons to go after those with the black spot mark. In Sea of Thieves, the lore could also come with a twist. To access Athenas fortune you must be Pirate Legend and currently though the three guilds from Gold Hoarders, Order of Souls to the Merchant Alliance, this is the only way we can progress to Legend.
I know there are ways being added to go about progression. I'd like to see alternate progression tree in the game altogether, rather then grinding for the Pirate Legend status. Eventually everyone will be 'Pirate Legend' and when we're all legends...there is no Legend. So having three separate branches, we would have options.
I wouldn't even limit this part to Greek Myth, if we're talking about the golden age of piracy itself, there was no Sea of Thieves without the Royal Navy that brought the threat of civilization like a tidal wave. This isn't new, I've heard this suggested several times, having a Royal Navy. Like the Pirate Legend status, there could be something else, and a different location for the Navy. But, that isn't the point of this topic.
This is about myth and monsters, wether those monsters be the Kraken or ourselves. This doesn't need to change huge aspects of the game, like i said they plan on new ways of progression. Imagine taking Quests from a statue in the centre of some ancient ruin which eyes glow when you near and a voice can be heard momentarily before you get that same option to pick a quest or ask those questions.
These quests could be more so an Adventure mode, there is a reward but the focus is the narrative that quest will take you on. And who knows, would be cool to get cosmetics that are inspired from Greek myth. Like the Cestus, ancient battle gloves. Or a sword that appears to sizzle with electricity when near a certain enemy...like skeletons? (Similar to Sting from LotR)