Something to understand about Piety itself: it does not guarantees a religion, especially on Deity.
If you are on Deity, on a Civilization that does not provide Faith very, very early on, and you start Piety instead (of Tradition), you are pigeon-holing yourself into a few possible scenarios (none of which are particularly pleasant):
- You are unable to found a Pantheon because the AI is still faster at it, and therefore unable to found a religion.
- You found are able to found a pantheon (and with a high probability that you will end up with a less-than-useful pantheon), but you are still unable to found a religion, because the AI will have 2-4 cities with Shrines, will be the first to Philosophy/Temples, and will likely have went for the Faith-producing Pantheons, while you are still sitting pretty on 1 underdeveloped city (because again, you went Piety instead of Tradition for your first Policy)
Now that you have (possibly) founded a Pantheon, and now that you have put yourself in a hole you are going to find very hard to dig yourself out of (near impossible if playing on a Pangea map with everyone forward settling you)..... ask yourself, why would you have ever tried to go for religion on Deity without choosing a Civ that has early faith generation?
Note: Religious City states and Faith from Ancient Ruins are not considered, as that is purely RNG/luck based.