Yes, a lot supernatural beings believe as well in the various Religions of the humans. Mainly because the various Gods of the countless religions actually exist. The countless Gods, which are worshiped and honored in the various Religions, are basically all those old Gods, which were defeated millenia ago by the first Dragons.
Of course, there are those who aren’t part of any of the religions and instead follow the ways of the first Dragons.
Could we follow the first dragons and if we did would our friends and family look down on us for it
Will any of the mythologies come into play?
Yes, you can follow the ways of the first Dragon’s. Also, each of the eight Dragon’s have their own way of life, so you can basically choose from eight different ways.
And no, your friends and family won’t look down on you, because the ways of the first Dragons are extremly common within the supernatural world.
Yes, you will also meet Gods and creatures from the various mythologies, like the Norse Mythology, the Greek Mythology or, as you already know, the Yokai Mythology.
So, can I be a Grey Wolf viking seeking a glorious death to join Odin in the halls of Valhalla?
If you want to. At some point in the story you will actually meet several gods from the various religions and mythologies, including Odin.
Interesting enough, as a Grey Wolf you already have a close connection to the gods and creatures of the Norse Mythology. The Grey Wolf species is especially close towards Fenrir, the first Grey Wolf, who is also the patron of their kind.
So… With Fenrir being the first Grey Wolf, do we get to meet his father?
If you mean, if you will be able to meet Loki, the Trickster God than yes, you will meet Loki at some point in the story.
You will also meet other Gods of the Norse Mythology like Odin, Thor and Freya.
Excellent. Most Excellent! 
Isn’t Fenrir a girl in this setting? I think her name is Erica IIRC.
Fenrir might be female in my game, but Erika isn’t the actual Fenrir. Fenrir is only her title. You see, there was a tradition between the various Grey Wolf tribes. Every ten years there would be a great tournament between the various tribes, where each tribe would choose their strongest warrior to compete in a great competition against the strongest warriors of the other tribes. These competitions were mostly duels, which often even ended with the death of one of the warriors. The warrior, who would last out till the end, would be known as the strongest Grey Wolf from this day forth and would gain great respect from all the tribes. Ultimately, the winner of the competition would also be awarded with the title “Fenrir, the first Grey Wolf”, which is considered as the highest honor among the Grey Wolf’s.
I’m thinking that the Grey Wolf might be my favorite!
Did Erika only win the tournament recently or she’s been the champion of many tournaments and nobody could defeat her yet?
What is each dragons why of life if you don’t mind me asking
Erika became the champion of the tribes countless centuries ago and she stayed undefeated since that day on.
Is she immortal? I ask becuase if she is dead after all these centuries I’m pretty sure I could beat her pretty easy I mean I’m easily better that Alexander the Great and Einstein at this current moment in time.
Lol your comment made me think about something, were people like Alexander the Great or Einstein non-humans or humans?
No, Erika isn’t immortal. She just extremly old, but her age doesn’t change anything about her powers and strength. The reason for this is, that Fenrir herself blessed Erika with her powers, because of the heroic deeds Erika had done for her kind. Thanks to Fenrir’s blessing Erika gained unimaginable, almost godlike, powers and abilities. These powers had also an effect on Erika’s body, since they extented her life span enormously and stopped her aging process all together. Erika is actually over eighthundret years old, but she still looks like she is in her mid twenties.
Side Note: To be honest, all the ancestors are several centuries old.
Actually, some of the great historical figures were indeed non-humans, like Leif Erikson (Grey Wolf), Charles the Great (Half Dragon), Alexander the Great (Griffin), Arthur Pendragon (Soulmancer), Jeanne d’Arc (Celestial) or Amelia Earhart (Harpy). Of course almost no one outside of the supernatural world knows about this.
The ways of the eight Dragons are: