first off...wut?
secondly, it's because of proper nouns. as in, if you are Christian, you pray to God just as in Islam you pray to Allah, just as if you were Greek you would pray to Apollo. it's not Apollo, the sun God. it's Apollo, the sun god. It's the Greek god's because they are all god's and each has a specific name (Apollo, Zeus, Athena, etc) you use to refer to them; they are god's but they aren't called God.