I would make the contention that at least one religion exists and has evidence: The worship of money. Money isn't real, it's a social construct given power and made part of our reality by our belief in it. It's mystical. Many people spend their entire lives worshipping it. They want it, they venerate it, and they seek wisdom from the people who have it. The worship of money is misguided, and unwise, and it fundamentally mistakes the point of life. But it is evidence-based. People worship money because they see its material power over the world and respect it as the giver of life, love, and happiness. That sounds like a religion to me, and there's no empirical proof which can dismiss these claims about money that are the core belief system of Mammon.