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It doesn't have one. If you want to call her by a nickname I would suggest you choose another name all together. Athena just doesn't have any nicknames that work. Yes, you could call her Annie or Thea, but in my opinion that is a huge stretch and doesn't make too much sense, it feels forced. If you wanted to call her Thea you could just name her Thea and if you wanted Annie then Anna or Anne would make much more sense. All the nicknames that don't feel far fetched are kind of unattractive such as Athy or Thena. This is just not a cute name that comes with nice, sweet nicknames. If you want one, I would think about considering other names.