No, they generally don't bring to mind a religious person, except possibly
Christian.
When I was growing up,
Kristen was kind of the typical snobby popular girls' name. That and maybe
Heather.
Kristen seems to have had the same shelf life as
Heather, or even a bit shorter. I don't like it, it puts me in mind of a bimbo. I like
Christina or
Kristina much better.