but then why isn't it Wodensday?
Modern English 'Wednesday' coms from Old English (Anglo-Saxon) 'Wodnesdaeg', as you said, from the Germanic god 'Woden'. For the written word, the long oh sound as become modern the 'eh' sound. It's possible that different pronunciations of this day's name have been present throughout the history of the English language and somehow Wednesday gained popularity or perhaps prestige. From what I've read, in Middle English there was great variety in spelling and probably, in pronunciation. If you investigate all other Germanic languages, you'll see that either they have their own version of 'Woden/Odin' + day or they have something corresponding to 'midweek(day)':
Onsdag (continental Scandinavian languages)
Woansdei (West Frisian)