The MFA in fiction is a studio degree for people who write literary fiction. There's nothing to stop you from enrolling in an MFA and writing stories dealing with religion; there will be people writing about all sorts of things, and I suspect the workshop environment will be more accepting than academic programs of religion.
Keep in mind, though, that the main focus of the fiction MFA is the mechanics of the short story (e.g. point of view, dialog, character development). Stories will be analyzed as works of craft rather than assessed on their instructive (or other) merits.
You could also look into the low-residency MFA, which is an MFA done by correspondence. You are paired with an advisor, who critiques your work and oversees your thesis. If you can find a writer at such a program interested in instructive or religious fiction, I suspect the low-residency MFA might be a better path for you.
There's a lot of info on both full- and low-residency MFAs online. I'd start with the blog I'll link to below, which ranks programs based on funding.
Good luck!
http://creative-writ...k.blogspot.com/