To start with, you need to obtain travel insurance, short-term insurance, before you leave Canada and get sufficient insurance for both health and general purposes.
You would be considered as non-us citizens living in the U.S. You are not required for obtaining insurance for the tax penalty purpose.
However, to obtain a health insurance plan is a prudent thing to do in the U.S. for the apparent reason. Since you have a religious worker's visa, you could have a sponsoring organization. They should have a group plan for you to participate. Your status in terms of visa type should not be an issue. You should be qualified for joining the group plan because you are a worker, employee, in the organization.
Some religious organizations also host individual health plans for religious workers. But in the U.S., if you can afford it, it would be advisable for you to join a popular, commercial, open health insurance plan because that plan may be accepted by more physicians and other health care providers.
Contact your sponsor organization to follow up on their heath care insurance plan provisions for you. Join and don't opt out.
Please also see below from the website link sources.
Non-US citizens living in the US
As non-resident aliens, international students on F, J, M and Q visas (and certain family members of students) are not subject to the individual mandate for their first 5 years in the U.S. All other J categories (teacher, trainee, work and travel, au pair, high school, etc.) are not subject to the individual mandate for 2 years (out of the past six).
Fiona Chen, MPA, Ph.D., CPA, ABV, CFF, CITP