The god favored by your family would be a likely choice, just like in our world.
Also, if there's a patron god of the settlement, or of the country, or the noble rulers, that might also be a good choice.
Or, as folks said, just want you like. A similar thing in my life was Confirmation as a Catholic -- you choose a saint to be your second middle name. People choose the saint they like. Some people like the patron saint of the land of the ancestors (e.g., Patrick for the Irish, Anthony for the Italians). My sister chose the saint that was already her middle name so got it twice, so it was essentially picked by our parents. I choose the saint my uncle and grandfather were named after -- but mostly because I thought that saint's story was really cool.