Living near Circe was likely something that would prove to be beneficial. Jon already wanted to ensure he could help guard her in the woods (even though he could see she was well-versed in them all on her own) and living nearby made that more feasible. As to the gods? Well.

"The gods I worship don't have names. We just call them the old gods, the ones who watch and guard us from the forests. Now, in the South, they have different gods - they follow the Seven. That's...Mother, Maiden, Crone, Father, Smith, Warrior and Stranger. I don't know much about them other than what little I heard from my lord father's wife growing up."