Actually gonna repost my own post on main because it's interesting into my headcanon
Some ruminations on 40k where names are power, which we know for a fact affects Chaos with true names affecting deamons. But naming yourself after something that we know is mythology (but which they don't know, or only have a certain rudimentary "idea" of it) grants you some level of ancestral protection, or a similar path, because of warp logic/fate/superstition. It makes people named after such more likely to be fated to do interesting things or heroic feats in WH40k
Though the real reason is it makes the characters sound cooler, still, it's kind of fitting though? Dante of the Blood Angels being stuck in his own personal hell? Watch Captain Artemis forever on the hunt (for aliens). Ra the Custodian who is both illuminated and gets Drach'nyen implanted in him to confront the "ultimate darkness" and runs into the webway. The main Fortress of Ultramar and Guilliman's "home" being named after Hera = the whole Imperium Secundus thing happening in a similar vein to when Hera tried to overthrow Zeus in mythology? Prospero of the Thousand Sons being named after a Shakespearean character that happened to be a sorcerer? Space Wolves calling Big E the Allfather (Odin). Dark Angels and Lion El named after.. yeah you probably know that one.
Hel is used by the Imperium at large to refer to the warp as of Darktide
But likely the meaning behind it (Helheim and the goddess Hel) is lost
However Imperials do name themselves after mythologics. I've seen a few Freya's, Sigurd's and Sigrid's on the side of Chaos as Traitor Captains/Lieutenants in Darktide. On Ultramar they have the "Fortress of Hera" with a former Baneblade called "Pride of Hera" (before being trashed by the Tyranids). Deathwatch has Watch Captain Artemis, even though technically this is going by the modern unisex version because he's an Astartes. I know there was a knight pilot named after the goddess Artemis in the Pariah Nexus
Ra the Custodian (named after Egyptian mythos) straight up names the old Greek deities but under "the old legends" as "Zoas Lightningfather" (Zeus) "Avena Warbringer" (Athena) "Hermios Swiftrunner" (Hermes) and "Heraklus Halfgod" (Heracles).
Then Lorgar straight up mentions Odysseus ("Odyssion") and other legends under euhemerisms i.e. "Orfeus" (Orpheus) and so on when he wanted to find the truth between mythology and reality
My theory is mythology as a naming convention is just hard baked into 40k because it sounds cool, though my other notion that makes it cooler is names also have power and meaning in 40k because of the warp and superstition being real defence or power. So it might be a sort of ancestral defence, charm, power, etc to whoever is named such, or makes them more likely to be fated (i.e. Dante of the Blood Angels, where that wasn't his original name at all, but he's been stuck in his own personal hell for 1500 years fighting)