Exactly. The idea that Conservatism=Religious is a pretty obviously false association, but I see it repeated often. My parents are extremely religious and they are serious lefty socialists. The issues should be orthogonal. I hardly know any GenX who are religious. I do think they are very sensitive to perceived propaganda, whether it is coming from the government, religious institutions, or the media. "Cynical" would be a good word, because their distrust of authority does not seem to be a kneejerk anti-establishment distrust.
All GenX really wants is for the government to leave them alone I think. It isn't that they have any strong propensities for 1960s style recklessly permissive behavior, they just don't want to be told what to do on principle, even if their lifestyles are largely conservative in practice. And if you think about it, that sounds a lot like the culture the Americas had right around the revolution.
There are plenty of GenX'ers with a Christian worldview - often its expression is different than the boomers who subverted traditional religion with their narcissism and navel gazing.
U said you never met a religious Gen Xer. Well you have now. I'm Lutheran & Generation X (1962 - 1981)