Perhaps if she's very, very well read on Ancient Greek mythology and literature, she might have encountered his name there. Several references to him do exist in the texts, after all.

Though as Greek gods go...Zagreus is on the ridiculously obscure side. Fame was not something he was fated to receive.

"Pleased to meet you too mate," he says, with a friendly smile. "I am still learning my way around, but...is there a particular shrine you would like to visit? I'll do my best to guide you."