This sort of thing happened to me as well. Conquistadors convert cities to your dominant religion (and as you note atheism if no religion is dominant). After a few hit and miss games I finally stumbled on to the exact mechanic by accident. In this video the religion I founded is called BARKALOS!!! but Confucianism is the dominant religion in my empire, so Mohenjo-Daro ends up converting to Confucianism. Edit: I can't say I understand the exact mechanics fully though. Like in this 6otM 45 series. My 3 Polish cav armies attacked a Spanish city, a SPANISH CONQUISTADOR was within the city boundaries, and the city insta-converted to MY religion.