Do you have a soul? Do I have a soul? I don't know.
Now if Data were a Christian, I wonder what denomination he would chose to be. They're always asking that question when you go into the hospital, for instance.
Can androids be religious/spiritual?
Data is always striving to be more human, so I think he actually might believe in God and practice religion. He's always practicing his music and his art for example. But of course you have to consider whether or not he inherited a sort of atheism from his father and mother.