Elves aren't cannon fodder like goblins, so why none of he first pantheons are their patrons?
Well, nothing says they can't worship Gods from the existing pantheons. It's not like humans should worship one pantheon, dwarves another, and so on. it's not about the races, except for the creatures that were created only to be killed and that no God would want to help.

My guess would be, elves could worship some Gods, but they'd rather worship other elves.

I don't think the East would be a God-free place. I think it's probably the opposite, and that all Gods can answer calls, because it no pantheon's territory.
But maybe they do neglect calls coming from there.
Either way, as there is no proof elves live in the East, this theory can't be proven right now, but it's an interesting one.