Polytheist

I personally would go with magic.

However an argument can be made for either origin by use of Thaumaturgy A.K.A wonderworking (basically how the Saints performed their miracles). Originally the word held no magical connotations, but gained such meaning during the Renaissance.

In the end though it is your character, so choose the one you are most comfortable/happy with.

Do you have to use Pandora's Box and the Well of the Furies?

In Norse mythology there is a place called Mimisbrunnr, or Mimir's Well, located beneath the World Tree Yggdrasil where Odin sacrificed one of his eyes for great wisdom.

You could, if you wish, say that Mimir's Well and the Well of the Furies are linked to the same water source that grants divine power, only one grants the power of the Greek pantheon while the other from the Nordic pantheon; implying that Odin was the Statesman of his day.

This would, in my opinion, tie in with real world mythology while not actively going against the canon of the game.

As for the apparent loopholes in CoH lore I personally believe that the Well of the Furies and Pandora's Box are not the only sources of metahuman abilities. That is to say Pandora's Box started the heroes of Greek legend, while, for example, the Cauldron of Ceridwen, started the Arthurian era and, to use my previous example, Mimir's Well could have sourced the Norse heroes.

Of course I could be completely mistaken as, alas, I have not read the Web of Arachnos novel so could have missed some facts. If so I hereby apologise and implore you ignore this as irrelevant nonsense.