I'm not a religious person, but I had learned Buddhism and Christianity. I think I can really enjoy the gag because I can see from both point of view.
This series use gag by secretly use "miracle" that comes from both religion that maybe unnoticed by another one, and in unpredictable way(like when the cat comes to them when Jesus unintentionally say that they're lack of food---taken from Jataka tales, but it should be rabbit though).
I think this story flow naturally and ridiculously funny, but it can be offend some fanatic believer.