I'm writing a fantasy story where I want to incorporate various pantheons of mythology, without having them actually belonging to any pantheon. Is that possible? I mean. I like the idea. But is it possible and would it work? Or should I create my own pantheon?
There are existing book and TV series which do this. The issue is that generally a divine being makes sense within its Pantheon — in the Hercules TV show Aphrodite is Hercules's 1/2-sister (and acts like it), sister to Ares despite her distaste, and daughter of Zeus. Without that, she's just some random sexy airhead. Roger Zelazny (Lord of Light, Creatures of Light and Darkness) purposely used a single pantheon in each book to leverage the already known connections between the gods in them.
Existing books/TV branch out, but still try to have a reason. Xena Warrior Princess (a spin-off from Hercules) started with Greek gods but added Christian angels and devils — which reflected the real take-over of Christianity. It added Chinese Devas(?) as they went to China. Hercules dealt with Celtic gods because he went to England, where they lived. Jacqueline Carey's "Agent of Hel" series features the Norse underworld demigoddess Hel but in one book adds an underworld god from a different Pantheon as a surprise rival. The Dresden Files series has the Fairies (Oberon, etc...) as the primary divine beings, but adds the Celtic Fomor (which are at least geographically close to English Fairies). And then for a "heist" episode grabs the Greek god Hades (as someone known to have a super-tough treasure vault).
Then you've got Neil Gaiman's Sandman graphic novels as a counter-example. He had his own Pantheon of divine beings and could have borrowed Mars, Persephone and so on, but since he wanted a new Pantheon, he invented his own, with their own personalities and relationships. Then with Anansi boys he goes back to Zelany's style of just 1 complete Pantheon.
Going from all of that, it seems like using "real" gods but not keeping them as a pantheon (even a modified one) is pointless — if an important character is Odin from Norse myth but there's no Asgard or Loki or Thor, people will wonder why the heck he's here all alone. I'd feel cheated when you never explain how the real Odin got from Earth to your planet. "Old man 1-eyed Zeke who has 2 pet vultures and can call lightning" will fit in better in your new group (and be recognized as "oh, a guy like Odin").
I've done it myself, and it's a great way to integrate lots of different elements into a story. You can draw on and allude to many mythologies, lending depth and character that would take hundreds of pages in a newly created pantheon. You can even use it as an educational opportunity if someone is willing to dig into the subtext of your story. A google search of the weird runes at a crossroads in your book leads to a new appreciation of the goddess Hecate.
I personally had a working reality where all pantheons existed, but were only worshipped in cultural contexts. It was a sci-fi future, so all these faiths had died at some point, and been resurrected by new peoples being appealed to by those same gods. So different cultural groups intermingling or evangelizing their gods caused the faiths to intermingle. Thor worshippers and Greek Artemis worshippers argued with followers of Shiva over divine rights. Everyone shuttered a bit when the followers of Moloch came around.
But it didn't stop there. The gods were semi-real, being a combination of extradimensional immaterial beings and faith-powered interpretations, the gods manifested for their followers and fought through proxies in our world. Technology was powered by psychic energy of these beings, behaving like magic. Not being physical, the gods couldn't die - only be forgotten until someone was desperate enough to reach out to an unfamiliar god. Suddenly the Moche decapitator god was again manifesting through a new blood (pun intended).
So absolutely! Add new (old) richness and depth to your writing by getting the flavor of many mythologies, but without all the calories of being embedded in those cultures.
If I consider your question as is, I have my own: how can you have mythological characters in a story that isn't about mythology?
However, if your question is about mixing up mythological beings from different traditions, that is different. I would say you can do what you like but understand that readers have preconceptions. For example, most people think of Hercules as strong. Making him out as a weedy, weak wimp might be difficult, though not impossible.
If you want to conflate Norse gods with Greek ones, go ahead: it's your work.
Lots and none at all, Revan.
Have you heard or read, for instance, of the Amazons? Does that name conjure up anything to you? Beneath the vaguest impression, what is "the Legend of The Amazons"? What is the actual legend of Robin Hood, before Hollywood? Does a "Herculean" effort have much to do with the stories of Hercules? What about Brobdingnagian, Lilliputian or Ruritanian or before any such, Biblical?
When you want to incorporate various "pantheons of mythology" what does that mean, to you? English might recognise "mythic(al) pantheons" but they would be as different from your "pantheons of mythology" as chalk and blackboards; as cheese and biscuits.
When you name a character, those readers who recognise that name will automatically give that character whatever properties the "real" mythical character had.
One horrible example is the number of bad books and worse movies misusing the name "King Arthur".
Oddly, another is the original King Arthur and the Knights of the Round Table and the search for the Holy Grail, twice.
Most obviously because anyone should be able to see that a round table is no solution to who should be "senior" or how all could be "equal". Should the reader drop the idea of the "right-hand man"? I suggest not; a round table is no more egalitarian than any other shape, however many hundred years of readers have swallowed the misconception. Duh!
Then because King Arthur and the Knights of the Round Table is one set of myths and legends, and the search for the Holy Grail is very clearly something wholly (no pun intended) different that was added later.
Is that not exactly what you're attempting? To take a set of mythic(al) stories and turn some of their parts into something different?
Whether you mean "I'm writing…" or rather, "I hope to write…" a fantasy story seems to matter more than you know.
Should you create your own pantheon? Clearly, you should.
Did you but know it, that's what you were first suggesting in the Question title!