Oh yeah, you can play whatever way you want. It's just that what you get from a pantheon is most likely not going to outweigh building a granary first. If you're okay with that, great, go with that. Like I said, I understand there are going to be starts where you're going to have to be okay with it. They're things like "Oh man, I need Desert Folklore and Petra here and this is going to be awesome." In those situations, you know what you're sacrificing in order to get what you need. It's just not a "Do it this way every time" kinda thing because it's not always optimal at all.
Hell, probably half my games I don't even build shrines. At all. Ever.
Hell, probably half my games I don't even build shrines. At all. Ever.