Yeah, but there's no proof.
The Bajoran's have the tears of the prophets, which are obviously real and obviously have the abilities of giving you visions or making you travel through time. Their "religion" is very much grounded in reality. They KNOW their gods exists, instead of simply believing it.
The religious part chimes in when they decide that the wormhole aliens are their gods and that they need to worship them, even though the Prophets don't care if those folks visit their temples or not.
This may be an incorrect comparison, so sorry if it isn't right, but there are those who believe that psychedelics such as peyote are a sacred gift and put one in communion with the divine.
Peyote, for instance, is a real, documented plant. Its effects are partially measurable in that we can detect changes in the brain and behavior as a result of ingesting it. The experience of peyote and the significance of it, though, can't be experimented on in a scientific manner because it's experiential evidence rather than tangible evidence.
The choice to believe that a peyote-induced vision is divine is a religious one that a person makes--even though the existence and scientific effects of peyote are quite well known, this is still the case.