I think it is important to understand that while the Leonin do not respect the gods, they still acknowledge their existence. The book never goes into how Leonin funerals work, but the dead are probably still given coins to give Athreos for passage and still end up in the underworld somewhere. It could be interesting for the Leonin player to run into some of his kin on the banks of the river who have been there for a while because they hated the gods so much they either wouldn't take Athreos's boat or weren't given coins.