Motivated by the recent observation of antiferromagnetic correlations in the paramagnetic phase of iron pnictides, we study the finite temperature spin dynamics of a two dimensional J1 − J2 antiferromagnet. We consider the paramagnetic phase in the regime of a (π, 0) collinear ground state, using the modified spin wave theory. Below the mean field Ising transition temperature, we identify short-range anisotropic antiferromagnetic correlations. We show that the dynamical structure factor S(q, ω) contains elliptic features in the momentum space, and determine its variation with temperature and energy. Implications for the spin-dynamical experiments in the iron pnictides are discussed.