Today messing around with Byzantium on emperor, I never built a single shrine, nor did I get faith from a hut and met no religious city states.
I worked for great library, took liberty policies and sold a luxury to a friendly AI for 345g. With the gold I bought 1 shine in capitol, and got my pantheon "kind of late", but I was still able to pick oral tradition, which with my wine and citrus and liberty culture was enough to speed along the policy track. I then used the free tech from great library to beeline theology, and the great engineer from completing liberty to rush-build hagia sophia, which netted me a great prophet.
So, I was the first to found religion. My christian itinerant preachers and cataphracts proceeded to dominate the known world...