If he does have one, he doesn't seem to be practicing so it doesn't matter. We never see him go to church & we know that he has killed on at least one occasion, probably more. I'm not saying that religious people don't kill. They do. It just might be stereotypical but they seem to always want to justify their killings. Where as John doesn't.

I imagine John to be a little bit like my husband. He probably grew up with many religious traditions and today, he still likes these traditions, although he's not practicing anymore. In my headcanon he believes that something or someone is there - like a god - but he doesn't think about it a whole lot.  But in desperate situations he talks to said something, like many people do.  "Please, God, let me live."

Makes me think of the scene where Irene tells Sherlock he believes in a higher power, namely himself.

I'll have to go check now but I'm sure I recall seeing him reading a Bible at some point.