They just didn't usually use the actual god's name, and the practice overall was comparatively rare. Some examples:
Marcus /
Marcellus /
Marcia /
Marcella -
Derived from
MarsMarius /
Marianus /
Marinus /
Marinus /
Maria (conceivably) /
Mariana - Also derived from
MarsMartinus /
Martina - Again derived from
Mars, who was evidently a very worthy god to name your kid after!
Deodatus / Deodata - BtN says this means "given to God", but I suspect this originally meant "given to
a god"
Dionysius / Dionysia -
Dionysos was the Greek God of Wine, known as
Bacchus to the Romans
Herminius /
Herminia - Derived from
Hermes, aka
Mercury to the Romans
Junia - Possibly derived from
Juno,
Roman Goddess of Marriage
Saturnus / Saturna /
Saturninus /
Saturnina - Derived from the god
Saturn, obviously
Amadeus / Amadea - BtN lists "love of God" as this name's meaning, but like
Deodatus it could've originally meant "love of
a god". However, BtN says
Amadeus was used in the Late
Roman period only--while I've read
Amadeus was understandably popular amongst early Christians, I don't know if non-Christian Romans also used the name
Miranda

Proud adopter of 15 punctuation marks; see my profile for their names.