I've only heard it asked: What religion are you? Unless the Polish means something else, other than asking what religion one chooses to follow or believe in.
OK, let's add it.
I'd use W co wierzysz? or sth (I'm native)
That's a different sentence. You can respond with "wierzę w duchy", but that would probably have nothing to do with religious beliefs.
I can respond wierzę w Boga
Maybe it sounds unusual as I don't really ask that kind of thing