What if all States that were part of the union set up a theocracy?
People who didn't wish to be under that theocracy would migrate to a state with a small population, become the voting majority thereby taking political control of that state's government, and dis-establish the state church.
In short, the People would vote with their feet.
States can establish a religion. They cannot set up a theocracy:
Article IV, section 4, "The United States shall guarantee to every State in this Union a Republican Form of Government..."
All the States could establish the same religion, but Congress could not mandate its acceptance nationwide.