Not a US citizen, so enlighten me :o)
Your comment:
"The only exception would be if YOUR religion REQUIRED you to have sex outside marriage. Then he'd be firing you because of YOUR religion, which IS illegal under federal law"
would it be up to you as an employee to inform your employer of this prior to taking the role OR prior to beginning joining/practising such a religion? If not, then what's to stop people from getting fired and then declaring their membership to a religion all of a sudden and taking an employer to court?