That's a good question, and I suppose it goes to the heart of what people of that era thought of when it comes to bodies--given the gulf of time and place, I don't have an answer on that one, and it'd take somebody smarter than me to offer a decent answer. My hunch is that they didn't believe gods had a body in the material sense that you and I may think of it--that fleshy casing that struts around in good ol' spacetime.