It can be. If you're Presbyterian, that can be your religion (but as the others say, that's also a denomination of Protestant Christianity). In the hospital or on forms when they ask your "religion" some people answer "Protestant" or "Catholic" and others answer "Baptist" or "Methodist," etc.

"Religion" can mean belief concerning the supernatural or it can be the institution to express that belief. It depends on with which "name" you personally wish to identify. Heck, your "religion" can be "mlyn" if you want :-)