The setting of Blades in the Dark is, by design, very loose, and evolves during play. So there's no "official" resource of deities, or guide to any one specific faith. There's a page listing many suggestions for names and details for gods or cults (the god could be called "The Burned King," a sample cult practice could be "A pilgrimage to a sacred place or being in the deathlands / at sea"), but there's nothing established as cannon.
There is one notable religion established by name:
The Church of the Ecstasy of the Flesh: The “state religion,” if there is such a thing. They honor the life of the body and abhor the corrupted spirit world. Essentially a secret society.
They're a Tier IV faction, and there's some people and institutions who are associated with them, but even for this, there's hardly any material provided as cannon. In Blades, you pretty much make the setting your own.