1. Again, why don't you worship Zeus?
Because Zeus is not worthy of worship.
2. Saudi Arabia is a very good example of what the Judeo-Christian state would look like. Have you seen what Hasidic Jewish communities look like?
Yes I have and your comparison is poor. A better comparison would be to comparing them to the Amish. Did you know that Judaism is decentralized? Each synagogue and rabbi are not bound by the decisions/interpretations of other synagogues. Similarly individuals within Judaism are free to change to a different synagogue if they wish though this might require moving. The different denominations of Christianity provide a similar function.
No one intelligent wants a state church. That is a terrible idea and a recipe for religious oppression as history shows. A population that is largely and voluntary grounded in the Judeo-Christian tradition is not a state church.
3. Just because your carefully constructed delusion provides you with some psychological comfort, it does not mean it is the right thing to do.
It's not about psychological comfort that is tangential. Ultimately understanding God is about accurately understanding reality and bringing our lives into alignment with said reality.