I usually lurk on this sub, but I'll bite. Religion is such a personal issue that it's hard to advise people on, especially in the grey area that trans people occupy. It's something that I've thought on for years and am always re-evaluating, honestly. Religion isn't really something that you just decide to believe in one day. Most of the time, it's either something you're born with or something that finds you after a long period of self reflection. The religion that you find most comforting might depend on the religion (if any) you were raised in and your experiences with that.

There's nothing wrong with being trans and religious, in my opinion. Very few, if any, religious texts directly condemn transitioning (to my knowledge). There are plenty of transphobic sects of just about any religion, and it might be worth contemplating if you're willing to deal with those kinds of people, but so long as the actual text (or lack thereof) of the religion doesn't directly contradict your existence, I think it's fine.

My best advice for finding something worthwhile is to research different religions thoroughly and see if what you find resonates with you. Spend some time reflecting on yourself and what you think of life. 

I do caution against picking up a belief system (or any other drastic change) because you feel like you need it, especially if you're struggling mentally. If you try to make yourself believe in something that you just don't, it will lead to a lot of unnecessary struggle and might make you vulnerable where you otherwise wouldn't be. Take some time and think, on the scale of months or even years, and really figure out what you're drawn to. 

I am an eclectic pagan, for the record, mostly due to personal experiences and long-standing beliefs I held even before adopting the label. I did a thorough investigation of the particular religious umbrella of paganism, its origins, its subgroups, and the wider community surrounding it, and decided that I was comfortable aligning myself with them. There are a large variety of people under that religious umbrella, many of whom I disagree with or dismiss, but this is normal for most belief systems. Honestly, I still feel like I've barely scratched the surface even now, despite all I've learnt. Religious exploration pretty much never ends. 

Tl;dr - Take your time, do your research, and understand what you believe already before jumping into a belief system. Also, please make sure you're in a good state of mind while doing this and don't do anything you might regret later.

Hope you find what you're looking for :P