Depends. Until their recent revival the Druids were toast for a thousand years (and I still haven't seen a wicker man recently). No one's sacrificed to Jupiter in quite a while. Zoroasterism is rare. And the Spanish Inquisition did a fair job at what it was originally designed to do - root out secret Muslims in post-Reconquista Spain. If there were penalties for multiple religions - perhaps just under certain civics, like Theology - then an Inquistion would be appropriate. They have slavery and the practical equivilant of fascism, why not the Inquisition? The trick would probably be that you couldn't call it a wonder. Maybe a Great Prophet could conduct an Inquisition in a city and rid it of all but the state religion? It'd give us something to do with them if nothing else.