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I don't think it's pretentious, generally. It's more nerdy than anything. Most of the people I've met with more unusual mythological names either have parents who came from those cultures or are quirky, geeky people. Maybe once upon a time, when knowing about mythology was a mark of the upper classes, the names had some pretension (I remember reading once* that plantation owners often used mythological names for slaves, both because it marked them as rich and educated and also because they considered it amusing to own an Apollo, Venus, or Hercules).

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But in today's world, I'd say using a name like the ones you mentioned would primarily mark people as geeks who probably play MMORPGs rather than snobs.

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*could be total BS so don't quote me