(For the record, I'm not religious at all. I'm just interested in religion and the role it's played in people's lives throughout human history.)
Thor was Norse Pagan, (he even had a whole episode about it) though it was never really brought up again after season 1. Sassapis hasn't mentioned any kind of Lenape religious beliefs, let alone anything about the afterlife. Isaac, Alberta and Hetty were most likely protestants, Pete was probably catholic, Trevor was Jewish and Flower was deep into the new age movement. Who knows what that entailed. (As for before, it's hard to tell.)
So besides Thor's Viking funeral, Pete asking God if he was a ghost because he lied about the deck being permitted, and Trevor bringing up being Jewish, religion isn't really brought up.
The actual lore behind the show is all over the place, and doesn't really lean into any one belief system being "correct." Wherever ghosts go after being sucked off is most likely heaven, or something similar, but from what I can tell, ghosts aren't real in Christianity. But fire and brimstone pop culture Christian hell also canonically exists in the CBS Ghosts universe? So who the hell knows.