The extended phenotype encompasses any phenotypic traits external to the organism: nests, parasitic behaviour like rabies, or 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, religious memes are dependant on human psychology (genetically determined) for their perpetuation. Whether or not religion itself is beneficial to the fitness of the actual humans (the carriers of the genes) is still debated. Bret Weinstein advocates for the idea that it is adaptive (good for fitness), while others like Richard Dawkins argue it is likely more exaptive.