Just to start off, I must say that Thanatos is absolutely overrated.. He is only "good" for the execute, since u can't dps with him well enough.. For that reason, there is no point in getting damage items on Thanatos. If you intend to use him anyway, use him as a backbone for your hunters (support), not as a damage dealer. He is still able to execute, which is the only reason why you would pick him.
I say hunters because in this mode, you want to prioritize hunters as your main and, possibly, only dps. The challenges the mode provides are in sintony with ranged attack gods, and since you cant burst down these "bosses" with a couple of spells, You want to favor sustained damage instead of a big burst, and that's why you should give preference to hunters.
Not all hunters have the same efficiency tho. You should pick hunters with some form of cc in their kit, since that will help you enormously in several challenges. Despite Rama not having any hard cc, he is highlighted, maybe because of personal preference, but also because he is extremely handy in some specific rounds (like the 2 sylvanus + fenix and the 5v5 round) and he is generally a safe pick because of his ultimate, which can deviate any unwanted attention.
I also highlight 3 supports, Ymir, Khepri and Terra. Ymir is simply amazing with the utility he brings to the table with his wall and freeze. Don't make the mistake of maxing is 2, level it just once, because you want to maximize your wall and your freeze. Remember these support gods are only here because of the utility they offer, not because of any damage they might bring. Khepri is just Khepri doing Khepri things. Is ultimate is astonishing here (actually it always is), and his 2 shreds protections for your lazy hunters to chew on and also reducing the damage your allies take from these high damaging "bosses". Last but not least comes terra. She is usually played as a healer, which i find it good, since her heals can get really big and her walls have a good amount of utility. The main reason i give her such a high mark, its also because of her ultimate, which can help you alot in several rounds.
The rest is up to you to find the strats you like for each round and the comps you prefer. Good Luck!