The first person ever referred to as a "Heathen" was Semitic

Today we look at both Matthew 15:22 and Mark 7:26  Let us first turn to Matthew, who relates:

And, behold, a woman of Canaan came out of the same coasts, and cried unto him, saying, Have mercy on me, O Lord, thou Son of David; my daughter is grievously vexed with a devil.
[Matthew 15:22, KJV]

The same story, and the same woman, also appear in the Gospel of Mark:

The woman was a Greek, a Syrophenician by nation; and she besought him that he would cast forth the devil out of her daughter.
[Mark 7:26, KJV]

As noted, the above quotations are from the King James Version of the Bible. In other translations of Matthew, the woman is invariably referred to as a Canaanite, whereas in the version according to Mark there is more variety in the translations. In the first place, already in the KJV we have her referred to as both "Greek" and "Syrophenician". Other translations tend to perserve the "Syrophenician" label, but many of them replace "Greek" with "Gentile", as is the case in the English Standard Version, the New American Standard Version, the Douay-Rheims Bible, the Weymouth New Testament, and the New Living Testament.

If we look at the "original" Greek text of both gospels, we find that Matthew refers to the woman as γυνὴ Χαναναία, and this appears to present little or no difficulty to translators: Χαναναία simply becomes "Canaanite". However, Mark refers to the woman as "Ἑλληνίς", that is, as a "Hellene".

Now as everyone knows, the people referred to in the English language as "Greeks" have always referred to themsleves as "Hellenes" (well, almost always: in Homer one find frequent references to Achaeans and Danaans and Argives, but  only once does he speak of "Hellenes"). Our English word "Greek" can be traced back to the Latin Graecus, which, for whatever reason, is how the Romans referred to the inhabitants of the next peninsula over, and most other European languages have taken their leads from the Romans.

But in Mark 7:26, the designation "Hellene" refers to the woman's religion, not to where she lives or where she is from or what language she speaks or what ethnicity she is. She is a polytheist, a Pagan who worships the traditional Gods (those same Gods that even the Hebrews worshipped at one time, and into whose worship they are perennially "backsliding"). That is why it is necessary to state both that she is a "Greek" and a Syrophenician, the latter referring to her, for lack of a better term, "nationality", which, at least according to Matthew, could alternatively be denoted by the label "Canaanite".

A previously discussed in my earlier post, Heathens and Hellenes, when Ulfilas translated the Christian Bible into the Gothic language, in the year  348 AD, he translated the Greek word Ἑλληνίς ("Hellene") into Gothic using the word Haiþi, that is, "Heathen".

So, Heathenry has nothing intrinsically to do with Northern Europe or with Germanic peoples. It has nothing to do with geography, or language, or culture or race. It is a religious designation referring to traditional polytheists as opposed to those who exclusively worship the One True God of the monotheists.