Great question! Typically, college applications are only for relevant information about you at a candidate for that university. So, if your religion is relevant to the university, meaning the university is a denominational institution (e.g. they are a Catholic University such as Villanova University) then I would include it. Additionally, if your religion is an important part of who you are as a student and person, then include it, maybe in one of the written responses.
Overall, I don't think adding it will negatively impact your candidacy for a university but only add it if it means something to you.