It has been mentioned, that Norse Mythology isn't a perfect term, and I can't completely disagree. However there isn't an official name for this "religion". To be precise it isn't even a real religion by definition, because it is missing some characteristics, for example an official holy scripture or a superior organisation. Instead there are myths and legends about the norse gods and so on, and very different movements and believes about these myths and legends. As you allready worte even today there are different of these movements alive (neopaganism), and some of them even have official names. We could use on of these names, but that would only include these one specific movement of many, perhaps 50, 100 or 200 years old. But I want to use a term which is including all movements, like for example the term christanism does include catholic, protestantic, orthodox and more.
You might be right, that norse mythology isn't a perpect term for this religion. But I didn't want to use the term paganism, because paganism is a term used by christian churches to defame foreign believes and might therefore be considered insulting. I don't believe followers of a modern norse religion do call themself paganists. (All right, they want call their religion mythology either, but I think that's a more neutral term.)
However is it easy to rename the religions ingame for your own use, if you simply edit the ChooseReligions_CIV4GameText.xml. It contains only the text shown ingame.