Religions are in fact series of stories. In general, whatever is written in the 'Holy Book' of every religion is a series of stories written by the people who experienced it and have been a part of the scenario or have been told about the story. I would not want to be sounding bias but let me set an example based on the religion I know: For many religions, the Bible (Holy Bible) is based on stories written by certain people whom they claimed that they had vision from the Lord. For example the Pentateuch is written by Moses but not all part of the Pentateuch was experienced by Moses; some stories happen way long long time before Moses was born. 

Another example, Jesus actually had so many stories and even told parables during His preaching. 

So we can say that religion is connected with storytelling because the preaching made are bound by stories which they (the religions) claimed to have happened in the past.