Proteus is one of the ancient gods found in Greek mythology. He was god of the rivers and the sea and was able to prophesy, but would only do so if held against his will. To make the task of capture more difficult, Proteus would constantly change shape. The word 'protean' is derived from this capacity.
Triton is also a mythical Greek god, said to be messenger to his father, Poseidon. Triton was believed to be part man, part mermaid. He carried a large conch which he used to blow through to either calm or raise the waves. He also carried a trident like his father.
In his poem, William Wordsworth refers to such pagan beliefs as an alternative to the materialism of The Industrial Revolution. Wordsworth felt that man had become obsessed with seeking material wealth and had completely neglected or forgotten nature. His poem beseeches man to return to nature and leave behind 'worldly things'. Man's quest should not be for self-enrichment, but should be a desire to achieve unity with nature - a common theme in Romantic poetry.
It is for this reason that Wordsworth feels that he would be better off being a pagan, a reference to early religious beliefs in a variety of gods existent in nature, and not a monotheistic (one god) system of belief. Since these are gods of nature and Wordsworth wishes to achieve a closer relationship with nature, it would be best for him then, to rather be a pagan and worship the natural than the material.
The allusions to Greek mythology that are made in the last two lines of this wonderful poem mention these two important deities as the speaker declares he would rather be a pagan than cut off from nature and man's relationship to his natural surroundings. Consider what the last two lines say:
Have sight of Proteus rising from the sea;
Or hear old Triton blow his wreathed horn.
Proteus in Greek mythology was a sea god who could change his shape at will, giving rise to the adjective "protean," and Triton is a sea god who controls the waves by blowing a conch shell, his "wreathed horn" as the poem describes it. Both allusions function as examples of pagan religion and how they prized nature as a powerful force to be reckoned with that mankind needed to respond to and have a relationship with. This of course stands in conflict with the damaging impact of materialism that is described in the first few lines of the poem.