Are you sure you are talking to correct cities? Eastern cities doesn't just mean anything east of Rome, there's a specific list. Ask around Judea and nearby provinces until you find tavern keepers with dialog options about the Thundergod. You need to talk to 3 different tavern keepers and actually ask them about Thundergod, then the last one will tell you something to progress the quest, and it will send you to Egypt.

The cities to search are Antioch, Jerusalem, Alexandria and Thebes.
Preferably do that in that order.
You are expected to meet Parthian spy in Alexandria after you ask about Thurdergod more enough times.

Thanks for the help. I've apoke to three tavern keepers about the thunder god. The last one mentioned a Parthian spy and to find him. But I didn't notice anything saying where. I'll ride to Alexandria now.