Maybe that's all that's available in your network....It it may not have been so a a prying thing to say you need to be Christian or whatever but just because certain religions may not be open to certain treatments.. I really don't know, I was so happy to get insurance with my job that I don't care what they ask. Most of my doctors are East Indian.
All that said, I've never seen that question on any form except when I was going to a doctor in Tennessee and I think it was like a Catholic hospital.