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Yes. OP could make up a new story based on mythology and it's not in the public domain.
The Church of Scientology is well-known to aggressively assert their copyright interest in some of their religious texts. At some point these will lapse into the public domain and anyone who has a copy can publish them.
I believe this is generally true. But as I read your comment, I started to think about what scenarios it wouldn't be true for. So now I've lost 20 productive minutes of my evening. But to salvage its value, I'll share what I've brainstormed.
If OP devises a universe following up from Greek mythology -- as an example -- and then affixes that story into writing, then OP's copyright will come into existence automatically.
If OP instead hires a stenographer to write down his verbal dictation, and the stenographer later formats the text alongside a copyeditor that OP also hires, then OP still has a valid copyright, over both the raw, stenographic manuscript, plus the final, completed work. The stenographer and copyeditor would not share in the copyright, because it is a work-product that they are handling, rather than a creation of their own effort. Alternatively, their hiring contract waives all claims to the story's copyright.
If OP instead writes his own manuscript using an open-source word processor like LibreOffice Writer, and then sends the PDF to FedEx Kinko's to print as a perfect-bound book suitable for light coffee-table reading, neither the printer operator at the shop nor FedEx Kinko's would share in the copyright, because although they are rendering the work into a more tangible form than an .odt or .pdf file, this is a mechanical function and not one of creativity, which is what intellectual property protects.
Finally, if OP stands at that one weird triangle in NYC and basically improvises the entire story aloud without any note cards or preparation, within full view and earshot of the public sidewalk, and it so happens that three Columbia University students -- still disappointed by their school's capitulation -- decide to hear what this strange man on the corner is spouting, and begin writing down OP's words verbatim, then it may be the case that neither the students nor OP have a valid copyright over the story or its characters.
What can happen is that although OP's story is a creative expression, it wasn't rendered by OP into a tangible or concrete form. And what the students did was the mechanical operation of taking dictation, so their scholarly efforts also don't imbue any creative effort that copyright laws could protect, apart from maybe the exact sequence of grammatical symbols and guesses on how certain character names might be spelled.
In essence, a public creative process may end up depositing the meat of the story into the public domain, save only for the actual rendition on paper which merely records it. This is no different than republications of older public domain novels, where the only valid copyright is upon the copyediting done to clean up some old words and make it palatable for a modern audience.
IANAL, but I'm beginning to see why the job of IP lawyer might pay so much.