Well...
We did. Just, not in the Germanic languages.
In Latin (and therefore, in the Romance languages) and in Greek, God is Deus or Theos, both of which are derived from the original Proto Indo European Dewos, which also meant God (and, originally 'to shine'). In Greek, that name became associated with their supreme thunder god, and Dewos shifted a little into Zeus, or, if they wanted to be more specific, they called him Father Zeus, or Zeus Pater. Meanwhile, the Romans titled their almost identical supreme thunder god the same thing, just in Latin. Jupiter (dies-piter).
So, Italian Dio, Spanish Dios, Portuguese Deus, French Dieu, its all the same name as Zeus and Jupiter, after a few millennia of linguistic shifts.