There are two answers to this. One is Uranus, or Ouranos, who IS the sky and heavens, father of the Titans, grandfather of Zeus, Poseidon, Hades, Hera, Demeter, and Hestia. It could also be Mount Olympus, where the gods lived.
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The spirits of the dead that have lead good and virtuous lives drink from the River Lethe and are taken to the Fields of Elyseum, where they spend eternity in blissful ignorance of the suffering of their mortal existence. That is the source of the Christian concept of heaven.