I like to think she took up thoat religion to honor/be closer to J'onn. Someday someone will write a bonding session between the two of them where he taught her everything about his culture. Honestly, I'm surprised we haven't gotten it yet since J'onn would be ALL ABOUT a daughter figure.
Besides, if White Martians do have gods, they're probably pretty awful. I don't blame her for rejecting them.