There are many stories of religious horror. There's the original Exorcist, of course (the movie; I haven't seen any of the TV series, but I've heard it's very good); The Omen; Stephen King's The Stand (with added prescient pandemic bonus); and the current streaming series Evil. The X-Files' Dana Scully was a scientist and a devout Catholic. Mike Flanagan's Midnight Mass, a seven-episode limited series on Netflix, takes elements of Catholic liturgy and mythology and marries them to a very different kind of mythology to stunning effect.
This show has been out long enough that the main plot elements have already been discussed, but just in case: