Now that Rome and Egypt are sometimes so far away from the European civs, it's not uncommon to see no religion at all in the European civs. My current Dutch game I have no religion at all until I conquered the Aztecs, and then I got Islam (which happens to be the AP religion) in Tenochtitlan. My neighbor Spain is Confucian. Ethiopia founded Christianity but is landlocked and his neighbor is also a landlocked Buddhist Khmer. Rome is a massive land power in central Asia, neighboring Germany who I just met with a caravel across the Arctic Ocean.

And yes, I had trade routes to far away Carthage and Arabia, and even Japan (who's Taoist), but no religion in my Nether-land (literally at the end of the known Old World).

Maybe Rome needs to spawn closer to the European civs to give them religion.

Interesting.... in the many starts I have done, Rome has always been close to Europe. Granted Egypt often is very close as well and usually founds Judaism.

Many times, the Arabs have founded Christianity on founding as they have the knowledge of Theology. Have seen the same thing on Persia's founding with Judaism is Egypt doesn't found it.

I think the problem is that Europe is too diffuse; there are less European civs than in normal RFC but a greater area for them to occupy so usually I see the old world split 50/50 or more between Euros and everyone else when really the Europeans should be crammed together.

Wow, I'm playing a very similar game with the Dutch right now. No religion at all in Europe. Christian holy city seems to have been razed. Is this possible?

Yea. Barbarians take a city, and then decide to raze it. Happens quite often.