There is a little conflict of religion in "The Road to Mecca" depending on your own faith opinions or depending on which character that you side with in the story.
For Pastor Marius, there is initially a conflict of religion. His character is a pastor for the standard Judeo-Christian faith. The story doesn't clarify about a particular denomination. It doesn't matter though. Marius is going to believe that salvation is obtained only through faith in Jesus Christ by God's grace. For Marius, there is no other way to obtain salvation. He cares deeply for Miss Helen, and he is concerned over her lack of church attendance. By the end of the story though, he accepts Miss Helen's creative road to Mecca, because it gives her spiritual comfort in a way that the Christian religion wasn't giving her. He doesn't agree with her, but he doesn't make it a point of contention and argument. He is more concerned with her general well being while on this earth.
Miss Helen has had some conflict of religion but no longer does by the time that the story is taking place. It's hinted that Miss Helen had a falling away from the church 15 years earlier after her husband died. This falling away would have been the result of a serious conflict of religion. At the time of his death, she wasn't able to find the spiritual comfort that she was seeking by going to the Christian church. Miss Helen wasn't confrontational about it, so her conflict was an inner one and not one that represents any conflict of religion with others. She substituted one form of worship for another. One concrete conflict of religion resulting form the switch is that many neighbors began distancing themselves from Miss Helen.
Lastly is Elsa. There is definitely no conflict of religion with her. She doesn't know what to believe in, so she believes in everything and nothing at the same time. She's the person that would respond with the standard "if it works for you, go for it." Elsa supports Miss Helen's spirituality and Pastor Marius's spirituality. Supports might be the wrong word. She doesn't have a problem with either of their spiritual choices. She doesn't have a problem with them, because she sees that each religion gives each person the spiritual comfort that they are seeking. And since Elsa is in a state of turmoil after her recent abortion, that comfort is deeply appealing to her.