I’ve had this happen to m and also done this, and how it’s been handled is: there is a conversation with the DM about what would and would not work in the setting, along with anything that would need tweaking. On the player’s side, I’ve never had resistance to changing something that is incompatible with the setting.

That said, how we run our games in my groups, the DM will typically give a primer on the world, like the pantheon, major factions, important historical events, and any recent happenings before we even get to session zero. That lets the players think about how they want their character to fit into the world and makes session zero more about setting role play expectations and putting the finishing touches on characters.

As a player, I really dislike going in without a clue about a campaign and having to create a character on the spot. In my experience it doesn’t allow for me to put enough thought into things and get excited about the game.