A compromise?
How about this?
Let him begin as a cleric worshipping Boccob, with Knowledge and Magic as domains, but let the character roleplay his growing connection with the Far Realm. As his madness and his delve into "That Which Man Was Not Meant to Know" grows, he begins to draw his divine power from the Far Realm rather than from Boccob. When he takes his first level of Alienist, let him drop the Magic domain and pick up the Madness domain: it gives you a perfect in game explanation.
I've always thought it would be fun to play a divine Alienist who no longer worships a god, or rather, thinks he does but is actually drawing his power from something else.