We in our gaming grope came upon the same question, as I decided to play an Irish Priest. We have at least been agreed on one thing, earth was at it is today, up til the first opening of the portal, all the magic was folk lore and myth. Only in an underground world with Illuminate, Occult Kabbalism and Voodoo did real magic exist, but as it states in the fluff, it was getting weaker and weaker, so the few people that could wield magic in the world opened the breach. So, the Catholic church and all the religions was around as normal then, but they had to change as all things when radical things happen. The christian church in our world is clearly allied with the Guild if not a part of it, as much of the anti magic and witchcraft can come of an evolved christian dogma, the Ten Thunders have many things that gets one reminded of Asian religion like Budism, Taoism ect. All the religions are good at adopting to new things in there own way, like "Look, it is as we always said, Magic do exist but in other words and meanings and it dos not include the unholy arts of necromancy or other dabbling in the false arts. NO! its only our holy way that is correct and all other will doom us if it is not stomped out by our newly formed Inquisition... hurk... I meant breach warden settlers, yes they will, ummh see that you are not corrupted by the dark arts and evil creatures on the other side, The Guild!" In our game the religions are much the same and need little adjustments to work in Malifaux. My priest even got he's own little burial place to cremate the dead and hold ceremony's , all in the name of the Lord and Guild.