Yeah, I do think it's curious to be going out of your way to antagonize one religion in the prologue of the story; I don't really care one way or another, but you only see the red goddess torture one "false god" when there have been hundreds of people who claim to be god or receive revelations in history. I just find it strange that only one religion is picked out for this, rather than the handful of others that are also prominent today.
The nun backdrop isn't too concerning for me, the idea of the symbol of purity being fetishized has existed for quite some time. I do enjoy these types of NSFW games myself, after all.