I have encountered some Xenos who seems to believe in an unamed "God" (perhaps the same as the one in christianity).
Outcasts seems to think Nomads are divine creatures, so probably their religion is highly nomad-influenced.
Rheinland, well, its the Church of the Green Eagle, of which I have absolutely no idea whats its about other than they have a Gottkanzler and every citizen must be member of said Church.
Kusari, not really mentionned, but by the big buddha statue in NT, I'd guess they have something close to shintoism/buddhism for sure.
Bretonia uh... that I do not know.