As The Giant said so long ago, belief of the individual matters.

In my opinion, if a Thor worshipper dies in the far south, he still belongs to Thor because he has believed this is his destiny since he began worshipping Thor.

If a Thor worshipper converts to a southern deity, he would be sent to the southern pantheon's afterlife.

I'm supposing that the northern pantheon is for dwarves by default due to cultural influence. Even if they are like Roy, lacking devotion to a specific deity, they will have grown up immersed in the concepts of Northern culture.

Both Hilgya's appearance now and Roy's acceptance of her worries me, though. She's a sign that things are about to get bad enough that they need a high level healer.

But what really worries me is that Roy seems to be trying to do the opposite of what he thinks is right, while it was his judgement that got them this far. I hope he gets over this fast, possibly due to an ironic lecture from Hilgya, because a leader who second guesses himself too much or allows his subordinates to make his choices does not long remain a leader.