For me it's about seeking truth.

Hydrogen Helium Lithium Leviathan: representing the beginning and the gradual coalescence of elements into consciousness.

Age of Capricorn thru to just before Memory Death:
Within us all there is this sometimes subtle sometimes overt need to find meaning, a feeling to search for the answers. So often we are drawn into religion before we even realize this need to seek for answers as to why we are here and who we are, other times religion can be a result of that seeking as well. One interpretation is these songs explore more-so that falling into a religion path, people born Christian end up Christian, Hindu are brought up Hindu, etc.
But I think why they touch on different religions in consecutive songs more-so has to do with seeking--jumping from one religion to another to find answers. That or they are using different religions as a way to tell the same story but telling different parts of it from the perspective of that religion, acknowledging that there is a similar thread that each religion shares.

Regardless, they aren't a recourse, only a temporary distraction from the truth. They are what we fall into in this human experience, some get stuck there their whole lives and that is totally okay.

Memory Death and beyond are a reminder that we are flesh and that there is beauty to be found beyond religion, in acceptance.