Hmm what you are describing actually is kind of the opposite of what I had in mind, though right now very little is programmed with regards to religion and nothing is set in stone.
How religion is planned now is as follows:
There are 6 relgions:
1) Chaos
2) Old One Worship
3) Human Gods
4) Elven Gods
5) Ancestor Gods (Dwarven Gods)
6) Orc Gods
Yeah, I know the names aren't exactly original
Each Religion has 4 Main Gods, one each of Nature, War, Magic, and Crafting. You can choose in civics which aspect of religion your Civ focuses on. While focused on an aspect, (say "War"), you can build temples, shrines, etc... to the gods of that aspect whom are spread to your cities. (For ex, if you have "War" as your focus and you have the Chaos religion and Orc religion spread in your city, then you can build a Temple to Khorne and a Temple to Gork)
These temples enable unique units, one for each level of holy building. If you change civics so that the aspect is different, you can keep your old buildings
however if you build a new one to a different god in the same city, the old one is destroyed, so you can't have temples to every god in every city.
If you were following closely, you realize, yes this means 4x4x6=96 religious units! Plus more for things like the elven gods, etc...
No wonder I haven't even gotton started on it yet
The unsatisfactory aspect of this is that races can found each others and have each other's religions.
Wait I just got a brilliant idea!

(From here on out, this is me thinking aloud)
But this is a world where gods are literally present and revealed themselves to different races. So what if the Old Ones hadn't commanded the Lizardmen to take care of the world, but the Dwarves instead? Or if Sigmar had been born a goblin?
If I change the wording in the game to "The Old Ones have revealed themselves to the Dwarves" instead of "The Old Ones religion has been founded by the Dwarves"...then we might have something...
The Religions could be:
1) Chaos Gods
2) Old Ones
3) Defenders of Mortals?
4) Wise Ones?
5) Ancestor Gods
6) Wild Gods?
The ? ones I just made up, I'll think about them more later. I actually find this method more satisfactory than how the Vanilla game works. Because, like many have pointed out, in the real world it's individual people who found a religion. But in the WH world, gods come down from on high or whatever and tell the people how to behave.
So in this method, some gods see that a Civ has found a certain technology that they are interested in and so the gods choose to reveal themselves to those Civs.
The spreading of various races religions is acceptable, b/c it does happen in the WH world, underground especially. Like the Cult of Pleasure (a Chaos cult) was spread to the High Elves, even though they are staunch advisaries of Chaos.
What does everyone else think? Especially those of you who are big fans of Warhammer? Acceptable? It will be a while before Religon shows up, but when it does, would this be a good form or are there any other suggestions?