Greek poetry such as Homer’s Iliad and Odyssey began with an invocation to the muses. There were nine muses, sisters, the daughters of Zeus and Mnemosyne (Memory):
Calliope (heroic or epic poetry)
Clio (history)
Erato (lyric or love poetry)
Euterpe (music or flutes)
Melpomene (tragedy)
Polyhymnia (sacred poetry or mime)
Terpsichore (dancing and choral song)
Thalia (comedy)
Urania (astronomy)
The god Apollo who had music, poetry, and the arts in his keeping, was their leader in the Olympian tradition.
In a similar vein, there’s also the popular Hindu god Ganesha.
Looking at the question a completely other way, you could say that Jesus was a god associated with storytelling since he used storytelling as a means of teaching.
I thought the Anansi stories were about Anansi, not that he was a storyteller. If you just mean “Which gods have been told about in stories?” the answer is indeed all of them (as others have said) because that is where (and only where) gods are found at all.