Firstly, feel free to do whatever you want; we kept a lot of the religious stuff vague so it'd be easier to adapt to what players wanted.
Second, the conceit of Z's setting is that gods almost never have a provable influence in the world. Sure, priests cast spells, but avatars of gods only show up in legends (and in one documented historical event, the Great Malice, 500 years ago). Because of the nature of the planes, things from other worlds cannot normally get into this world.
If a PC wants to worship a god, that's fine, as long as he's not expecting high-level intervention. As for what larger group to fall under, Seedism works if it's elvish. The Clergy works if it's something more human-oriented. Then there are plenty of small religious groups which are sometimes accepted, just not part of a large cultural movement. Like, if you wanted to have a PC who worshiped a god of darkness, that probably would be pretty fringe.