You have no obligation to explain the fictional religion in your short story.
The beauty of writing a short story is that you only need to include aspects of your religion that are relevant to the plot. It doesn’t matter if it isn’t a previously known religion or not. There is no reason to explain every single aspect unless you plan on using the precious page-estate of your story to expand upon it. Write the aspects of the religion that are relevant to the plot. Don’t focus so much on trying to make every single point make 100% sense if it’s not going to be used in the future. Your character is religious, the reader is unfamiliar with the religions in your world, and there isn’t any issue with that.
Just don’t explain the religion.
If the religion is not all that relelvant to the plot itself, you can show that the character is religious by adding a sentence or two about how they leave an offering at a shrine before work or pray before every meal. Maybe they become uncomfortable when one of their coworkers uses the diety’s name in vain– there are so many options that indicate a person is religious without knowing the details of the religion.
If you find yourself wanting to describe the aspects of the religion, add it in after you finish the first draft of your story. Sometimes it is easier to add details in after the big picture is completed.