Steve,
I don't think so. Yes it makes sense for hospitals (in case the worst happens) but this was more a "Help us improve our service by answering a few questions about your experience" type of deal.
Yes seems a slightly odd question to ask, and usually there are standard stock 'tick-box' answers just like for ethnicity. I've certainly never seen a question asked on religion with both 'no religion' and 'atheist' as options.
When you report lateral flow test results via the NHS system they ask about age, sex and ethnicity, which make sense as building up data on who is, and isn't getting infected is useful in a demographic context. They don't ask about religion however.