Children of Ash and Elm: A History of the Vikings by Neil Price would be a good one. He is an accredited historian of Scandinavia where he is a professor in Sweden. What I would recommend is to read this and then to look at his notes/recommended reading section at the end of the book and branch off from there!
Hey there!
I highly recommend Children of Ash and Elm: A History of the Vikings by Neil Price and River Kings: A New History of the Vikings from Scandinavia to the Silk Roads by Cat Jarman. Both are absolutely fantastic reads, however, the second book focuses more on the expansion of Viking culture and trade into the far reaches of the world - from Ireland to Russia and the Middle East.
Doesn't help your western bent much, but I loved SPQR and was just as challenged by https://www.amazon.com/Children-Ash-Elm-History-Vikings/dp/0465096980
I did not suggest that Greek religion was the first introduction but they were well-traveled and easily consumable and easily transmutable.
Few knew the Egyptian method of properly preparing the body for the afterlife so not as many religions took to it in my understanding.
As for the Vikings, the Viking Age, the time we know the most about, began 1000 years after the Greek empire started to collapse. Also, Scandinavian people were particularly well-traveled and it would appear that Hel is sampled from Hades. It is unclear if they are both taking from a previously shared myth or Greek afterlife influenced the ideas of Vahala and the other realms. I am currently reading Children of Ash and Elm, (a very good book I recommend if you are into medieval cultures) and what it makes particularly clear is the understanding of Viking of the soul, spirit, and other beings and realms were probably not shared as closely to the Greek understanding of an afterlife to be a good analogy and definitely not with modern-day Christian afterlife. In many ways, it appears that the early medieval Norse mythology was still very much an animalistic/shamanistic religion with supplemental deities as opposed to the other way around.
I have read a few of Dawkins's works and in my experience, he is a little too blinded by "being right" to objectively look at some aspects of how religions developed over time. I do not suggest he is wrong in his assertions but he is a little too quick to dismiss human nature and shared benefits. I recommend Sapiens by Yuval Noah Hirari, and anything really Hirari puts pen to paper for, in looking a little more about how religion has evolved. And The Righteous Mind by Jonathan Hadith at why some stick to it knowing the belief is probably not true.
Also just so my claim about Jesus is not dismissed out of hand Robert Alter spent 24 years translating the Hebrew Bible and came to that same conclusion and Bart Ehrman's book Hevan and Hell looks at how our current day idea of the afterlife came about. (I haven't read his book yet but I caught a really great interview he did with Terri Gross on Fresh Air about it hopefully there are no more delays on my library hold)