I believe a pantheon is generally a group of deities. For example, the Norse Pantheon where you might follow/work/honor with some of the Aesir or Alfalfar. I think. Haha
A pantheon is a group of deities divided by culture. You have Egyptian deities (Egyptian pantheon), Greek deities and titans (Greek pantheon), Irish/Welsh/Scottish deities ("Celtic" pantheon), etc. Do you see? Pan is Greek for "all". Theon comes from theois which is Greek for gods/deities. So together it means "of all the gods" and is paired with the culture so that it means "of all the gods of __(insert_culture)__".
There are "eclectic" pagans and wiccans out there that pick and choose from various pantheons.
There are others that choose one archetype (personality) such as "Female Love/Fertility Deity" and then they pick all the names from all pantheons saying they are one in the same being. That's not a very supported way, but it's done.
Most pagans and Wiccans choose one culture (two max) and stick with them although they may learn them all if they wish. For me, it is Cherokee and Irish (my strongest ancestors). But I'm a mythology buff so I have a good knowledge of many cultures.
As I was taught, the Lord and Lady are their own identities and entities. Some Wiccans are soft polytheists, which means that they believe multiple entities are actually facets of the same entities. Hard polytheists are those who believe that each entity is their own being, separate from others even if they are tuned to similar energies. There are also those who follow archetypes of forces or the literal forces (like worshiping the archetype of a Sea God or actually worshipping the sea).
You'll find a lot of controversy over soft polytheistic Wiccan beliefs because Wicca is already a synthesis of different paths and some feel that to "pick and choose" whatever from each culture without actually understanding anything from it is a bad thing. I am personally one of these people.
I am not Wiccan, though I use to use that title to identify myself. I will give you a word of warning from my personal experience; if you cannot connect to the Lord and Lady, or any deity of that matter, you have no business ever calling yourself Wiccan (like I never had any business of doing so). One doesn't have to connect so much as to be a god-phone (where one has direct communications with their deities), but you have to be able to believe in and worship or work with them.
Now, you don't have to be a part of a specific pantheon to connect with entities from said pantheons. For example, I've had connections with Janicot, who is not Norse, before I had any connection with the rest of the Norse deities I now work with.
If you do have an experience where a deity or spirit calls to you, make sure you research all you can about where they came from. Understand their traits, attributes, interests, and relationships before you actually begin work with them. Also, please make sure that any entities or practices you work with are from open cultures (cultures that are okay sharing their culture with people outside of it - as opposed to closed cultures who don't share with people outside of their cultures. To take from a closed culture is disrespectful in the least).
