Each entity in each mythology is the same entity with a different alias.
Example: Zeus in Greek mythology is Thor is Nordic mythology. Look at the main weapon. Zeus uses lightning. Thor uses a Hammer of THUNDER Bolts.
This isn't really true, at least from the hard polytheist perspective. For starters, as
@Saint Frankenstein pointed out, Zeus and Þórr aren't the same God at all. Zeus' name is cognate with the Old Norse Týr, the Sanskrit Dyaus, along with the Latin word Deus and Irish Gaelic word Dia, the former of which once referred to Jupiter and both of which now refer to the Christian God. They are linguistically descended from the Proto-Indo-European
*Dyēus ph2ter, literally "Sky Father", and the way I interpret this is that these individual Gods are, themselves, children of that God. Þórr, on the other hand, is linguistically connected to a different PIE God altogether, *
Perkwunos, meaning "Striker" related to the Lithuanian God Perkunas, Slavic Perun, and the Greek word for thunderbolt,
keraunós. It's worth pointing out that the Old English name for Þórr, which is Þunor, is also the word that would become the Modern English word
thunder. In other words, Þórr doesn't
use thunder; Thunder
is Himself Thunder Earthson.
When Tacitus tried describing the Gods of the
Germani, he said that the worshiped Mercury "above all others", along with Mars and Hercules. Modern scholars think he may have been referring to the Gods known in Old Norse as, respectively, Oðinn, Týr, and Þórr, but we really can't be sure (after all, Tacitus is separated from the Vikings by roughly the same amount of time as we are: a thousand years, give or take a century or two). This highlights the primary problem with claiming all Gods as being "the same God under different names": there's so much variation in the Gods across cultures, in terms of personality and domain, that there's even some question as to whether Woden, Wotan, and Oðinn are the same God or not. It also ignores the possibility that these are simply names that got applied to indigenous Gods as Indo-European culture spread. These "names" are really more titles, after all. (Freyr and Freyja literally translate to Lord and Lady, respectively.
This is all still within the Indo-European paradigm. We haven't even branched out into the rest of the world. Being the same archetype doesn't necessarily mean being the same God.