First off, excellent idea
Seeing as native doesn't have anything resembling religion, this is a tricky one
Were you thinking of implementing a priest/monk?
The priest could be located in the monastery,
and the monastery could be in each (Christian) city
or be a location by itself, like a village - or in the village.
(I suppose you plan the latter).
The priest could give you missions such as:
1. Simply giving money to the maintenance of the monastery.
And in return you would get renown or a special item (as in EGII if I remember correctly).
2. The priest could ask you to hunt down some heathen raiders
before they reach their destination at a Dane city
(similar to the enemy raiders mission in v. 0.75x).
Having a good stance with the priests could increase your charisma,
making you able to command more men (larger party).
Or increasing the moral of your party.
And at last as a heathen, you could convert to Christianity, suddenly
changing your stance to the different factions - making it easier to change sides...
But this doesn't really implement religion, I know. I'm just brainstorming