Just because the civ has the right religion, doesn't mean that the unit does.
One possibility is that you have a huge number of civilizations active.
If there are 30 active civs, then each dead Good unit has only a 10% chance to be reborn. (Higher for experienced troops, but if you're only building them to die...)
Archer attacked by Margalard, no religion present (havn't got any religion in my cities), got an angel spawn off it.
All non-animal, living and mortal Mercurian are eligible for angelhood. Yes, that includes Nightwatches, Entropy users and Beast units.