You will need to collect Zeus’ Lightning to upgrade your Stamina.
Zeus’ Lightning can be found inside chests inside Vaults of Tataros. Once inside a Vault, be sure to scan around using your “Far Sight” (press in
) for beams of gold/red light. At the bottom of these beams is a chest, where your controller will vibrate and a ‘reveal’ prompt will appear: Click right trigger to mark it.
There could be any number of chests in a Vault, so be sure to scan around. The end-of-Vault chest will always contain Zeus’ Lightning, and any other chests in the vault could also contain it.
Once you have collected enough Lightning you can upgrade your stamina at The Hall of Gods at the ‘cogs’ weights bench with a blue stamina bar on.