Insistence doesn't change reality.

D'argo: How did you know about their sacred text?

Rygel: Where were you raised? Every religion has one.

-Farscape

Which god do I have that I don't think is a god?

As suddenly as it had appeared, the magical tornado vanished. And there, occupying the space where the frog had been, was a frog.

“Fantastic,” said Rincewind.

The frog gazed at him reproachfully.

“Really amazing,” said Rincewind sourly. “A frog magically transformed into a frog. Wondrous.”

“Turn around,” said a voice behind them. It was a soft, feminine voice, almost an inviting voice, the sort of voice you could have a few drinks with, but it was coming from a spot where there oughtn’t to be a voice at all. They managed to turn without really moving, like a couple of statues revolving on plinths.

There was a woman standing in the pre-dawn light. She looked she was - she had a - in point of actual fact she…

Later Rincewind and Twoflower couldn’t quite agree on any single fact about her, except that she had appeared to be beautiful (precisely what physical features made her beautiful they could not, definitively, state) and that she had green eyes. Not the pale green of ordinary eyes, either these were the green of fresh emeralds and as iridescent as a dragonfly. And one of the few genuinely magical facts that Rincewind knew was that no god or goddess, contrary and volatile as they might be in all other respects, could change the colour or nature of their eyes…

“L-“he began. She raised a hand.

“You know that if you say my name I must depart,” she hissed. “surely you recall that I am the one goddess who comes only when not invoked?”

“Uh. Yes, I suppose I do,” croaked the wizard, trying not to look at the eyes. “You’re the one they call the Lady?”

“Yes.”

“Are you a goddess then?” said Twoflower excitedly. “I’ve always wanted to meet one.”

Rincewind tensed, waiting for the explosion of rage. Instead, the Lady merely smiled.

“Your friend the wizard should introduce us,” she said.

Rincewind coughed. “Uh, yar,” he said. “This is Twoflower, Lady, he’s a tourist-“

“-I have attended him on a number of occasions-“

“And, Twoflower, this is the Lady. Just the Lady, right? Nothing else. Don’t try and give her any other name, okay?” he went on desperately, his eyes darting meaningful glances that were totally lost on the little man.

Rincewind shivered. He was not, of course, an atheist; on the Disc the gods dealt severely with atheists. On the few occasions when he had some spare change he had always made a point of dropping a few coppers into a temple coffer somewhere, on the principle that a man needed all the friends he could get. But usually he didn’t bother the Gods, and he hoped the Gods wouldn’t bother him. Life was quite complicated enough.

There were two gods, however, who were really terrifying. The rest of the gods were usually only sort of large-scale humans, fond of wine and war and whoring. But Fate and the Lady were chilling.

In the Gods’ Quarter, in Ankh-Morpork, Fate had a small, heavy, leaden temple, where hollow-eyed and gaunt worshippers met on dark nights for their predestined-and fairly pointless rites. There were no temples at all to the Lady, although she was arguably the most powerful goddess in the entire history of Creation. A few of the more daring members of the Gamblers’ Guild had once experimented with a form of worship, in the deepest cellars of Guild headquarters, and had all died of penury, murder or just Death within the week. She was the Goddess Who Must Not Be Named; those who sought her never found her, yet she was known to come to the aid of those in greatest need. And, then again, sometimes she didn’t. She was like that. She didn’t like the clicking of rosaries, but was attracted to the sound of dice. No man knew what She looked like, although there were many times when a man who was gambling his life on the turn of the cards would pick up the hand he had been dealt and stare Her full in the face. Of course, sometimes he didn’t. Among all the gods she was at one and the same time the most courted and the most cursed.

“We don’t have gods where I come from,” said Twoflower.

“You do, you know,” said the Lady.”Everyone has gods. You just don’t think they’re gods.”

Rincewind shook himself mentally.

“Look,” he said. “I don’t want to sound impatient, but in a few minutes some people are going to come through that door and take us away and kill us.”

[And so on]

I love discworld. I don't get the quote though. Anything you wanna add op?

The Lady makes me think of the unnamed god in American Gods who is never identified but seems to be associated with gambling.

Wikipedia describes him thus:

The Forgettable God – An unknown god whom Mr. Wednesday meets in Las Vegas along with Shadow, whose name slipped from Shadow's mind whenever Mr. Wednesday said it. He has a liking for Soma, a Vedic ritual drink. Gaiman has never confirmed the identity of this god.