If we’re talking deities, as in supernatural creator beings, the answer would be yes when they want to be made of atoms and no when they don’t want to be. If they have the power of creation and form reality itself, their nature, both physical and spiritual, would be whatever they choose, right?
If we’re talking non-infinite mind creating a simulated universe that we live in, then it’s more likely that they are made of something, though it may not be atoms or matter as we understand it. They would presumably occupy some sort of physical universe with laws and something like matter to give it physical properties, but there is no reason to assume that the nature of the universe would resemble our own or follow the same laws. Atoms and other forms of matter that we have in our universe may be a construct of our simulation, rather than a constant truth in all universes. And honestly, their universe may not even be physical at all in the sense that we all understand it. The answer is that we don’t know, have no way to know, and may not even have the capacity to understand even if we were given the answer.