If I had to describe the religious life of the Midnight-verse in one word, that word would be “complicated.”
Before the Roman conquest, the regions that are now France and England had a wide variety of gods and religious practices, which interacted in a variety of ways with the pantheon and practices that the Romans brought with them. In our world, Christianity then overrode all of them over the succeeding few centuries; in Gray and Sophie’s world, however, Emperor Constantine changed the course of religious history by not converting to Christianity, which has therefore remained a curious and uninfluential little offshoot of Judaism centred at the eastern end of the Mediterranean basin. The pantheons, practices, and customs of the Roman conquerors and the Celtic conquered (and sometimes vice versa) have continued to mingle, clash, and alter each other for centuries.
Religious allegiances, like linguistic choices, resonate with class issues. The official patron deities of the Kingdom of Britain are a politic mix of home-grown and foreign gods and goddesses, and many people make a habit of propitiating a variety of deities, just to be on the safe side. Shrines and temples are sometimes adapted to make this easier – such as the Temple of Neptune at Kerandraon, which also houses a shrine to the Breton goddess-queen Dahut, also a sea deity – on the principle that if an offering to one sea-god keeps your fishing-boat safe, offerings to two sea-gods will keep it even safer. But under these political and bet-hedging choices, which most people adopt to some degree, there’s also a divide between those who identify strongly with the Patrician Roman conqueror-class and their gods, and denigrate the Celtic gods as “superstition,” on the one hand; and those who believe in sticking with the gods of their native soil and view the Roman pantheon (even centuries later) as “foreign,” on the other.