It sounds to me like it could be more your ex-religion and your upbringing/parent's fault! We spend 20+ years being indoctrinated into our primary family and Life from that perspective and at some point we become teenagers so-to-speak and have to break away from our parents and start a life of our own. You started that process and it was easier at first because your sister and parents kept themselves aloof. There was sadness and grief but that could be managed but then you met someone and now you want to include everyone again and want everyone else to be happy and they refuse/don't have the same agenda you do. Your sister is just the obvious point where you can see that everyone cannot be happy and (in my view) instead of shrugging at her drama and leaving her to it, you are still trying to get help and approval for your happiness.

Leaving your family of origin and moving forward into your own life is a process (just like growing up the first 20+ years was) and will take time. You have made a good start moving into your own life but are still trying to keep the old one too. You are choosing to let your sister's unhappiness and her life influence yours.

Seemingly unrelated but what has helped me enormously is learning to tell the difference between "Love" and "Like". You love your sister and parents but probably do not like them! That made me feel guilty when my therapist brought it up to me. However she then asked me, "Who do you like?" and I instantly named my husband. She then asked, "Name 3 reasons you like him" and I, again, instantly answered, "He is warm, fun, and friendly". She then countered with, "Apply those 3 reasons to your stepmother. . ." Nope, did not like my stepmother or 2 of my 3 brothers :-) The people we "like" we choose to. They are our friends and we want to be around them. We do not choose who we love, we just love them. But we don't have to like who we love, even if we love who we like. Do you like your sister? Probably not. So, because you love her, feel bad that she has to feel bad but then feel relief that you don't have to choose to have her around you very often, bringing you down? Her problems are not yours!