Roy is not religious.
He won't say why, leaving his subordinates to speculate. Maybe his parents weren't either, Fury ponders. Maybe he's just too cynical, Havoc smirks. He's a scientist, Riza points out. They only believe in what can be proven.
Roy leaves them to their speculation and does not mention how wrong they are. It is only sometimes, when the nightmares come and oh fuck, he's just recruited an eleven year old kid into the military—that he will even think about the real reason.
Any god that would accept the likes of him is not worthy of worship.