Asked about this recently too, hyped to see more people chiming in! I would absolutely love more lore on the Twelve too (just caved and ordered the Eorzea Encyclopedia in case there is more info there haha), but can reply to some of this with stuff I've just noticed floating around.
In my experience, Halone/Ishgard seems to have the most formalized and detailed following. Ul'dah with Nald'Thal is decently solid too, especially if you do thaumaturge/black mage quests. Picking up on exactly how Nald'Thal translates I think involves not just playing certain questlines but also being able to piece together cultural and environmental clues and see how those integrate. It's very present throughout Thanalan but is more understated than Halone is in Coerthas. There are priests and saints, funerary rites and holy sites, and practitioners of black magic are explicitly linked to Nald'Thal, the void, and forms of destruction. Seemingly distinct destruction from Rhalgr though. What hierarchy exists within Ul'dahn clergy (if any, there are faiths irl that lack hierarchies so it wouldn't be crazy to think religion surrounding Nald'Thal could be similar) hasn't been shown yet. But it's interesting that unlike conjurers or even Halonic magic practitioners, thaumaturges actually keep their base in a holy site to Nald alongside priests. There is some religious weight on them.
Meanwhile, Gridania hugely reveres the Elementals in day-to-day practice and has tons of rites surrounding them. They also tie conjury/white magic to the Elementals specifically. However, Nophica as the Matron and a figure who I kind of read as a fertility/harvest goddess in the spirit of Demeter in Greek mythology barely gets brought up. If anything Haedalyn herself seems to have a more prominent role as the Mother in that respect, which strikes me as really odd. I've been interpreting the way Elementals are worshiped/revered in Gridania as culturally similar or parallel to the worship/reverence paid to kami in Othard. Nophica I also figure might be more tied to natural fertility as a kind of mother goddess, whether that references childbirth in animals or humanoids or successful harvests. I've been taking Hydaelyn as a broader and more spiritual than physical creator figure, who represents raw materials and the organization/act of creation rather than the successful, positive externalized result of creation. Might find out that interpretation is off later, but for the time being it's what I'm going with. I'm still really weirded out that Gridanians don't seem to interact with Nophica regardless.
Llymlaen seems super MIA to me and I haven't seen much in the way of worship for her. However, if every time Lominsans reference the ocean/sea/water/etc. it gets taken as synonymous with Llymlaen then I guess as a goddess she's super chaotic and might help or murder everyone on a whim. You might get a good haul of fish, you might get a storm that drowns you and all your crew. Just pray and give tribute and hope for the best. But Llymlaen is referenced specifically as navigation/being able to successfully know where you are going so idek.
I've seen analysis pointing to Sophia as a sort of proto-deity to Nald'Thal and Azemya with imagery of both attached. There is also imagery around Qarn that supposedly points to religious evolution and certain gods being conflated IIRC? I also know that when you finish the Unending Coil of Bahamut, Louisoix is shown surrounded by the Twelve as crystals--setting them apart from primals and linking them to Hydaelyn more closely. I have serious questions on what this implies but can only speculate.
I do think that there might be parallels between the relationship Au Ra (moreso Xaela) have to Azim and Nhaama relative to the Miqo'te with Azemya and Menphina. Imo the forms, stories, and certain connotations differ, but the overall concepts are consistent. I do personally conceptualize Menphina as being more akin to say, Aphrodite, than to being a maternal figure. This isn't to say she couldn't have children theoretically, I mean Aphrodite did in Greek myth, but her main role isn't as a mother goddess. If ties are drawn between Menphina and Nhaama, the big consistency is that both are viewed very much as lunar lovers. Nhaama has the role of being Dusk Mother too, but as a figure there's more to her as well. If Menphina is tied to love and the moon, I personally would interpret her as also being tied to the concept of lunacy as moon madness, to dreams and the unconscious and desire. That's something that comes up a lot in spiritualism, mythology, etc. so doesn't seem like a big stretch. Azim/Azemya (VERY SIMILAR NAMES I AM SO SUSPICIOUS) idk if the deity is a guy, a girl, neither, both, who even knows. But both are the sun and both exist as counterpoints to the disciples of Nhaama/Menphina respectively. Azemya is also seen as the Warden and is written to be charged with receiving confession, which places her in the role of judge in a way. Azim I have been taking in the spirit of the Emperor card in tarot so wouldn't be a stretch to see him holding that function as well--an authority.
Thaliak we know is sacred to Sharlayans, and represents knowledge/exploration. There are iirc symbols and references to both him and the impact he has on culture throughout Idyllshire (particularly in architecture), but because the original residents are gone we don't have as much info as we might have in Ul'dah or Ishgard. Worship of Thaliak does seem to be more present and significant among Sharlayans compared to say, Nophica among Gridanians or Llymlaen among Lominsans.
Rhalgr is definitely present in Ala Mhigo and afaik seems like a kind of Darwinian/Spartan chaos god? Will keep his people protected from forces of nature, but expects them to fight tooth and nail to become the strongest they possibly could be. Fordola IIRC believed that the Garleans in their might were the rightful rulers of Ala Mhigo due to their victory and that only through their own might could the Ala Mhigans prove themselves worthy. It wasn't explicitly stated but I think it's reasonable to say she believes that the Garlean occupation was a test/judgment by Rhalgr. It seems like the people of Ala Mhigo have ranging interpretations of what Rhalgr represents to them, some more benevolent, but all tie him to the idea of power itself.
EDIT: I didn't see some of the other posts in this thread previously and it changes my understanding a bit haha. Especially on Llymlaen and Nophica. Still was fun though so leaving the notes!