Asking about your beliefs in God may just be to help her frame her approach with you, not that she's religious. If God is important to you, she may incorporate that into her approach. As for how to tell her, just tell her.
When my therapist called me back to set an appointment, she asked what I wanted to talk to her about since she had a full schedule and her concern was that I might wait unnecessarily to see her when someone else might be able to see me sooner. I had to tell her - or I'd be seeing someone else presently and just talking around the issues, not what was really bothering me.
If you don't tell her the source of your depresssion, how long will you spend talking around the issues? Let alone with someone who might not be the best person to help you right now? Regardless of how you phrase it, she will probably challenge your word choice. In part, that's her job. But if you know what you want, be persistent regardless of what words you use to explain it.