I'm not sure, but I think that if you hang onto that GP for long enough, he'll convert to your faith. I think that happened to me one time.
I had been saving the GP, going to use him just to screw with somebody's cities: if I had 2 of my own GPs and this one, I could convert ALL of India's cities to a new religion - and stop those &^&))&^#$% GPs from India for good!
So I just hung onto it until I got enough faith to get my 2 GPs, but somehow I had 3 GPs of my religion???