Taking a city-state gives you a city, nothing more. Whether that city is more valuable as your own city, or as a city-state where you have envoys providing certain benefits, is entirely up to you.
A city-state will automatically make peace (whether you like it or not) whenever its suzerain changes (either getting a new suzerain or just losing its suzerain). It's been reported as a bug, but until that changes, involuntary peace is a risk of any war with a CS.
As for your challenges getting a religion, I can't tell from your write-up what went awry. You don't state that you ever founded a religion -- you just state that your cities were converted to another religion, which certainly can happen. I see two possible scenarios here:
1. You did generate a Great Prophet and did found a religion. In that case, your religion should have appeared automatically in your capital and each other city that had a Holy Site when you founded your religion. But then another player may have came along and wiped out your religion by converting your cities to their religion, before you had a chance to build Shrines (allowing you to buy missionaries) or temples (allowing you to buy apostles and inquisitors). In that case, yes, you may be out of luck -- your religion is unlikely to reappear on its own (even in your holy city) and you can buy missionaries in your Shrine city, but they will have the other guy's religion, which is not helpful. You can try building Mahabodhi Temple, which will give you two free apostles that will have your religion, even if none of your cities still have your religion, and use them to reestablish your religion.
2. Your cities were converted to another religion before you were able to found a religion. You have one or more Holy Sites up and running, and one or more has a Shrine, so you can buy missionaries, but they will have the other guy's religion, which is not helpful. Check the religion screen to see if you can still found a religion -- the number of permitted religions on a map is equal to half the number of default civs on the map, plus 1 (so, e.g., 5 religions on a standard map (default 8 civs)). if all Great Prophets are gone, you can't found a religion at all -- you were just too late. If, however, another Great Prophet can be recruited and another religion founded, then you can still found your religion and it should automatically become the majority religion in your Holy City (where the Great Prophet is used) and each other city that has a Holy Site.