So I can offer a look at a specific at a particular set of pirates during a particular time, but I can't offer much information on piracy as a whole.
The French Colony of St. Domingue (which later became the independent nation of Haiti) began as the famous pirate colony of Tortuga in the northern Caribbean. Over the course of the 17th century, the French pirates began to control much of western Hispaniola and the French Government eventually acquired the land in a treaty with the Spanish. With formal French control came the establishment of the formal colony of St. Domingue, the instillation of a governor chosen by the crown, and the establishment of the Catholic Church as the official religion of the colony.
During the decades after the establishment of St. Domingue, the Catholic Church (the Jesuit Order in particular) came to monopolize religious life of the citizens and the slaves of St. Domingue and wielded massive influence over the colonial government. The Catholic Church despised the local pirates (colloquially known as Buccaneers) for their immorality, loose moral values, lack of respect for religious institutions, and even their treatment of the slaves. The Catholic Church used their influence within the colonial government to basically drive the buccaneers out of St. Domingue and back to the tiny island of Tortuga.
This all changed with the Nine Years’ War in 1690. When France declared war on England and the Spain, St. Domingue found itself surrounded by enemy colonies. The Colony did not have much of a defensive force and, much to the Catholic Church's dismay, was forced to beg the Buccaneers to return to St. Domingue to defend the colony from foreign attacks. During the conflict, the buccaneers disrespected the authority of the church by living a depraved lifestyle and disregarding the sanctity of marriage. The buccaneers began to live with concubines and slave women, while some colonists began to follow their example. The French Crown responded to complaints from the clergy and ordered all violators disciplined. The colonial government did not comply with these orders, because the buccaneers made up a large portion of the colony’s defense force. Church influence began to diminish during this period of warfare as the Buccaneers broke every tenet of the moral code with complete impunity. Clergymen helplessly watched as St. Domingue continued an alarming moral decline as the war dragged on. The signing of the Peace of Ryswick in 1697 returned the influence to the Catholic Church and the Buccaneers were once again driven from the colony.
So to (sort of) answer your question: The French Pirates in the Caribbean during the 17th century were constantly at odds with the organization of the Catholic Church with the two groups operating as known enemies competing for control of the colony.
Sources
Could you be a little more specific? Piracy was a vast thing... do you mean a stereo typical Caribbean pirate? Black beard kind of stuff?
While media and literature since Robert Louis Stevenson have regarded pirates are an almost culturally distinct group of people, it is probably more useful to think of them as normal people, or normal sailors who have committed a particular crime, piracy
Your question is sort of like asking "were thieves religious?" or "were smugglers religious?" or "were adulterers religious"
The answer, from antiquity until really the 19th century is almost certainly yes, they likely believed in the prevailing religion, and were religious to a degree. For the early-modern or age-of-sail pirates you are likely picturing, they were probably Christian to some degree. Likely they were not devout, though there are exceptions.
Barbary corsairs and the Knights of Malta were considered pirates by their enemies but had explicit religious sanction by their respective faiths, and their piracy was carried out along religious lines; that is, the corsairs did not trouble Muslim shipping and the Knights left Christian ships alone.
There was also considerable legal grey area between piracy and privateering for a long time, so English privateers such as Francis Drake were considered pirates by many of their (Catholic) victims. But had legal and religious sanction for what they did and were considered "good protestants" for striking at the Catholic enemies of England.
Atheism and agnosticism were rare to non-existent in the early modern period, and even the worst heresies took place within a generally christian (or Abrahamic) theological framework. Many European pirates were likely not what we would call observant or devout, but it is unlikely that they could be called atheists or even non-christians.
Also important to remember that mutiny and piracy went hand-in-hand, and many people on a ship could be 'swept up' in a mutiny or act of piracy they are not very interested in. If you are trapped on a ship with a dozen other people you do not have much latitude to remain neutral if a majority or vocal minority decide to commit an act of piracy.