This is the same idea as "if you don't like what's on, turn the channel." They absolutely have the right to voice their objections to playing certain gigs. You also have the right to replace them if you see fit to do so. Talk to them and find out how strong their religious convictions are, and let their answers guide your decision. You also have to ask yourself if you would play a gig for a political gathering if that party totally went against everything you believe. If you were an extreme liberal and Sarah Palin asked you to play a fund raiser, would you do it? In playing the gig, the public will likely associate your group as supporters of the cause. We all have the right to live and work based on our beliefs. If there is no owner of the band, then majority rules. Just be ready to replace them along with any equipment that may leave with them.
I agree with Rusty Axe, but get ready for the piling on. We all have the right to our beliefs, just so long as it is the same as theirs.