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If you are asking for an accommodation for your religious practice, then the employer can request some evidence of belonging to that religion because the law concerning religious accommodation requires that the religion be a strongly held belief of the employee. The employer can gauge the strength of that belief by asking simply for some evidence.
This is true with all sorts of things that employee's have a right to consideration for, like medical issues, bereavement leave (when the employer has an established policy), etc.
The employer does have to be careful about putting the bar too high because then it appears to be a form of hindrance to religious practice, but just asking for some evidence of your belonging to whatever faith it is...that is not illegal.