I don't agree that pagan has an immoral connotation, except in the minds of some religious adherents. The New Oxford American Dictionary lists the "derogatory" usage as a dated way of referring to a non-Christian. The main listing says
pagan a person holding religious beliefs other than those of the main world religions.
In other words, pagan is a term often used by people who believe there is a "True Faith" and that they follow it. It's like a religious version of "foreigner" spoken by someone who lives in a country that looks with distaste on outsiders. Ambrose Bierce might have described it as someone who believes the wrong mythology, had he thought to include it in his Devil's Dictionary.
Myself, I would prefer to use the adjective Greek to describe Zeus, Apollo, Aphrodite and the other Olympic deities, since that is both more specific and less presumptuous.