This might not be a question about the English language per se, but I’ll bite.
In Judaism and Christianity, among the 10 commandments are
- a prohibition to take or use God’s name in vain, and
- a prohibition to have or recognize other gods.
Profanity that refers to something or someone holy (e.g. “Holy Lord”, “Holy Jesus” for Christians) is arguably a violation of the former prohibition.
Profanity that calls something/someone that/who isn’t holy, holy (e.g. “Holy cow” for non-Hindus), is arguably a violation of the latter prohibition.
I added “arguably” both times because I don’t underestimate the inventiveness of exegetes and theologians to come up with all kinds of nuances, exceptions, alternative interpretations.
- a “religion” refers to a tradition that has these 2 prohibitions, and
- a “religious person” refers to someone who broadly follows these 2 prohibitions,
then yes, religious people will avoid such exclamations.
- there are religions without these 2 prohibitions, and
- within the religions that have them, there are religious people those who will explain these prohibitions narrowly, or don’t always obey them,
the answer is no.
Ultimately, it’s a matter of theologic opinion.