It may be a dumb question to some of you but this situation has never occurred with me before. I'm playing Rye's and practically the whole world is Christian. I'm Roman. Egypt just asked me if they could be my vassal, Egypt has the Christian holy city in Memphis. Would I attain any benefits from that if I accepted them to be my Vassal?

As far as I know, you would only get the usual benefits of having a vassal, no other special benefit.
On the other hand, if the world is Christian, and you are the master over Egypt, who owns the Christian holy city, they would have more income. Then you could get extra money for that...

They would own the holy city, but they would be my vassal. I guess my question is, I wouldn't get any extra $$ for that would I?

Well, as I said, they would have extra money, which you could demand from them as their master.

got ya, I think I'll just say NO, go conquer the Holy City.. THEN make them my Vassal. ;)

Yup, worst thing to do is vassalize people who have useful great wonders or holy towns...take them first, vassalize later..

sorry nothing to gain there.

Vassals have no religious benefits. the only thing you do as a master of a vassal state is protect him with your (probably) much larger military. if i were you i would say yes unless your economy is terrible. you benefit from it no matter what.

if you're planning on domination you get to make the wars, no one will declare war on you when your vassal has the holy city (unless they aren't christian of course) so you can declare war on them whenever you want

if you want a cultural domination you can eat you vassals resources and that way using them for your own benefits, plus you won't be threatened by rivals because you once again have the holy city.

if you're conquering the holy city you better have a large military because you're gonna piss off every christian by doing so. good fun of course, but risky.