Here are some useful links to posts on the Gene Wolfe mailing list (Urth) that provide useful infos on Soldier of the Mist:
Place names (Wolfe-English)
List of gods/goddesses and whose side they might be on
The above three were posted by Alice Turner (alga) in 1997.
List of names, 2000 (Wolfe-English). Slightly longer list with some interpretation, not always correct.
I’ve read dozens of other posts but these seem the most useful. If there are others you like, please let me know.