It's hard for me to think about why they have no religions, because I don't really know why religions are formed. They serve various functions which are served by other institutions in my world, for example social order and (to an extent) a system of morality. But if the imperative for religion is something else, I'm not sure what might fill that role.

Some of the technological trappings are roughly analogue to late 19th and early 20th Europe, which is a time in which skepticism flourished in previously religious communities. I think that might make the worldbuilding seem more natural.