WTF?!
Aside from all the people that have tried using the aforementioned options, I can't figure out what is and isn't working now. I just got to a point where I disabled anything having to do with religion and just let the game take its natural course while letting the AI catch up and found the undesired religions.
Sorry if that was confusing, I'll try and do a better job of clarifying
There are three options that affect religions (that I know of):
Option 1 is in the custom game setup menu, Choose Religion, and when selected and you discover a tech giving a new religion it gives you a menu to choose with pictures next to each religion.
Option 2 is also called Choose Religion, but is accessed ingame by Ctrl+Alt+O, and this again gives you a menu to choose, but only text. It also allows you to select what religion(s) the AI gets when it is able to found a new religion.
Option 3 is also in the Ctrl+Alt+O menu, and is called Limited Religions, and stops you from founding more than one religion.
Normally I have all 3 options selected, and when I discover my first tech that founds a religion I would get the menu from Option 2, which I assume overrides the one from Option 1.
Now if I start a game with all 3 selected when I get to my founding tech I am given a religion at random (I tried a save before, and reloading gave me a different religion).
If I try a game with Options 1 and 2 selected, but not Option 3 (limited religions) then I get the menu from Option 1.
So somehow having limited religion (Option 3) selected stops me from being allowed to choose a religion (Option 1), and Option 2 no longer seems to work at all. (The AI was also assigned a religion at random).