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Who Invented Fantasy?

Sure, but the old stories about Zeus and Thor are not fantasy. They are religious texts.
I'm not sure we can make that as a blanket statement or that they shared a similar purpose as the bible for instance. We don't know nearly enough about those texts and how they were used or interpreted. Especially on the Norse mythologies, we only have a few surviving bits and pieces and very little knowledge of what they did with them. For comparisson, if society collapses tomorrow and in a thousand years the only surviving text people dig up is the Silmarillion, then you will have people claim we worshiped the Valar and believed elves used to rule the world and so on.

There is definitely religious components in there and they played a part in the religious believes of people. But parts of those stories are also just about Thor and Loki doing weird stuff for instance. Or about dwarves and gnomes and giants and so on doing stuff. It is by no means certain that all those tales were told as religious texts and were not simply a storyteller making up some fun tale to tell around a campfire at night.

The telling of stories was a serious business, especially before the printing press came around and everyone could read. Take the Kalevalla for instance, the Finish epic folk tale which in part inspired Tolkien. It's a tale which in various forms was passed down through generations. There's a bunch of religious parts in there as well. But it's mainly just a tale which singers performed at gatherings. And this tale was only codified in the 1800's. Before then, it would change with each telling and each performer. Same with much of the mythologies. The versions we have are those which were written down at some point. But before that each town had its own version and the stories would change with the telling. Homer didn't create the Odyssey, he just wrote down a version which was performed. You can still see the evidence of that in the way phrases and descriptions are often repeated, which is a common trick of folk storytellers to remember stuff.
 
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