The extended phenotype encompasses any phenotypic traits external to the organism, from nests, to parasitic behaviour as seen in rabies or cuckoo birds, to bird song used in mate attraction.
Viewing a specific faith as an extended phenotype may be a stretch, but the human capacity for faith more generally may well be an expression of genes. Religions themselves are memetic, not genetic. Meme and gene complexes are interdependent in functioning well. In this sense the religion memes are dependant on human psychology (genetically determined) for their perpetuation. Whether or not the religion itself is beneficial to the fitness of the actual humans (the carriers of the genes) is a topic still debated. Bret Weinstein is an advocate for the idea that religion is adaptive (good for fitness), while others like Richard Dawkins argue it is likely more exaptive.