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No this band is not religious. If they were why would i love them. Here is an excerpt from an interview:

We are very much inspired by the Advaita philosophy as taught by the Vedas, one of the oldest known mystical texts. Our songs present this ancient philosophy as revealed by the Vedic literature in the Sanskrit language. This is the relation to the OM and the Sanskrit strewn all over our albums and our WebPages. I would not call us followers of the Vedic Religion per se. Please bear with me as I wish to digress here for a moment�.. Personally I abhor the word 'religion'. If anyone were to look at what religions have done & doing to the world, any sane person would be ashamed to call oneself religious. Religion has been the cause of violence and bloodshed all over the world in the past 1500 years. From the theological standpoint, a follower of religion is expected to believe in some Creator God or a Supreme Being sitting up in the skies and also the promise of a paradise. These concepts happen to be the conventional traits of any religion. I find these beliefs completely foolish, repulsive and childish. Hence, I prefer to use the term Spiritual Philosophy, which would mean a school of thought that transcends phenomenon without having to speculate or believe in any concept or theory. For this reason we are very wary of calling ourselves followers of any religion. And from this philosophical perspective alone proceeds the song-writing of Rudra. Our lyrics are basically the arrangement of words as seen from the eyes of this transcendental wisdom.