Official ruling from Jeremy Crawford(Sage Advice):
Q: Are paladins required to follow a Deity? I thought that their power came from their Oath and Conviction?
A: Some paladins serve a god or a group of gods. Some paladins don't.
Q:If a Paladin doesn't follow a God, then what's the source of his/her divine power? Conviction?
A:A paladin's oath is a powerful bond. It is a source of power that turns a devout warrior into a blessed champion" (PH, 82)
Q:Blessed by whom though?
A:That's a question to be answered by you and your DM.
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While some Paladins choose to serve a single god, some simply serve an ideal, while others might serve a Pantheon of gods.
If you accommodate Paladin of Tyr, why wouldn't you accommodate a Paladin of a pantheon?
It might be a cumbersome conversation option to have:
1) Yes, I will help you.
2) No, I won't help you.
3) (Paladin of Selûne and Bahamut and Lathander and Eilistraee and Tyr and Ilmater) I swear by my pantheon of Selûne and Bahamut and Lathander and Eilistraee and Tyr and Ilmater that I will help you.
Regardless of what your Paladin swears their oath to, in 5e it's the nature of that Oath that distinguishes Paladins.
