Henry Hellrung is better known as the super-hero "Anthem," the field leader of the Order. Henry Hellrung is a recovering alcoholic who has strong ties to Alcoholics Anonymous. He regularly attends AA meetings.
In the aftermath of the so-called "Civil War" over the Super-Human Registration Act (SHRA), Tony Stark (a.k.a. "Iron Man") established a program called the "50 State Initiative" - a plan to station a federally-organized super-hero team in all fifty U.S. states. The pilot program for this was "The Order," a team of brand new super-heroes for the state of California, based in Los Angeles. Stark used technology he had developed in conjunction with Henry Pym and Reed Richards in order to transform normal humans into super-heroes. The process was capable of imbuing humans with a large variety of super powers, with the limitation that the people could only have the powers for one year, lest the continued strain of possessing super-powers damage their health.
Henry Hellrung, a professional movie actor who played Tony Stark/Iron Man in a long-running TV series, had came to know Tony Stark through their mutual membership in Alcoholics Anonymous. Henry Hellrung was Stark's sponsor, and helped the alcoholic hero overcome some terrible low points in his life.
Henry Hellrung is interestingly similar to real-life actor Robert Downey Jr., who himself went through terrible bouts of alcoholism before becoming sober and playing the part of Tony Stark/Iron Man in an actual movie. Like Henry Hellrung, Robert Downey Jr. is a member of Alcoholics Anonymous. It is not yet clear to what extent (if any) the fictional character Henry Hellrung is based on real-life actor Robert Downy Jr. So, although Robert Downey Jr. is Jewish on his father's side and also has Irish ancestry, it is not yet clear whether or not Henry Hellrung is likewise partially Jewish.
Clearly "Alcoholics Anonymous" is not always regarded as a "religious affiliation," but at this time it appears to be the non-work-related voluntary membership organization that most significantly provides Henry Hellrung with ethical values, beliefs and moral support. So, although Alcoholics Anonymous does not function as a "religion" for everybody who participates in it, it is currently Henry Hellrung's religion.
Of course Alcoholics Anonymous is not the religious affiliation of Henry Hellrung's childhood upbringing. Details about what religious beliefs, affiliation and practices Henry Hellrung was raised with have not yet been revealed.