I don't recall anything in Holy Fury that was specifically about Lithuanian paganism other than the rework of the map, though I may well be forgetting something. Separating it from the grabbag of "All the other pagans that aren't Tengrii and Norse" is kinda the point.
As for what specifically, well, they should probably consult a better expert than I, but the things that most readily spring to mind that could be represented in game are the sacred alkas sites, the legend of the Iron Wolf and the founding of Vilnius (possibly an event firing when you feudalise, maybe making it a bit easier for Lithuania and allowing the immediate creation of a castle and moving capital), and maybe some tongue-in-cheek nod to the Palemonids (basically an Aeneid-esque legend about how the rulers of Lithuania were descended from Romans who fled either the tyranny of Nero or Attila the Hun, although admittedly this story is from pretty late in CK3's timeframe).