The gods live in a supernatural world and yet they are not unreachable.
My guess is that in the final moments of the season the supernatural elements of the show will recede.
One common feature of religions is that of supernatural agents.
early 15c. "above nature, transcending nature, belonging to a higher realm," from Medieval Latin supernaturalis "above or beyond nature," from Latin super "above" (see super-) + natura "nature" (see nature). Originally with more of a religious sense, "of or given by God, divine; heavenly;" association with ghosts, etc., has predominated since c.1799.
1580s, from supernatural (adj.).