mysteries (one word) or Sacred mysteries (two words, but an unambiguous term). The OP asks for a single word. Mysteries is not satisfactory for the purpose defined by the OP, because it could mean, e.g., murder mysteries. Sacred mysteries are defined by Wikipedia as:
The term sacred mysteries generally denotes the area of supernatural
phenomena associated with a divinity or a religious ideology. The term
has two senses, which often overlap:
1.Religious beliefs, rituals or practices which are kept secret from non-believers, or lower levels of believers, who have not had an
initiation into the higher levels of belief (the concealed knowledge
may be called esoteric).
2.Beliefs of the religion which are public knowledge but cannot be easily explained by normal rational or scientific means.
There were many pre-Christian religious mystery cults or religions, such as the Eleusinian mysteries and Mithraism.
The OP asks specifically about the supernatural in the Christian context.
In the Roman Catholic Church the First Vatican Council  re-affirmed the
existence of mysteries as a doctrine of Catholic faith as follows: "If
any one say that in Divine Revelation there are contained no mysteries
properly so called (vera et proprie dicta mysteria), but that through
reason rightly developed (per rationem rite excultam) all the dogmas
of faith can be understood and demonstrated from natural principles:
let him be anathema" (Sess. III, De fide et ratione, can. i). The
position, if not the terminology, of other Christian churches is
essentially the same
I am catching up on my reading, and just saw the article in The Economist, Talking in Tongues, which is about religious language and whether it should modernize and keep up with language as currently spoken. The article concludes:
A language of sacred mystery could be seen as a sign of [a special
status of religious faith] —or as an admission that letting the faithful interrogate the doctrine in plain language can be a dangerous thing. (Emphasis added.)