Religion through his characters? An interesting and challenging question. In "Break of Day," there is no explicit mention of religion. Therefore, you must work with qualities and images associated with religion: light and darkness, love, guilt, desire, perhaps sin as a "disease of love," etc.
In Elegy 19, religion is used explicitly, and in several different ways. There are references to the woman being like an Islamic heaven; this indicate purity, virginity, reward, pleasure. There are mythic references, increasing the stature of the love expressed. There are references to mystical occurrences, and to the marriage of bodies as the marriage of souls; we have a kind of cosmic sexuality evoked here. Quite religious…not fully mainstream Christian.
In the lovely "Valediction," the main religious reference is to the completion of the self through the beloved other, which is Christian and more widely mystical.