I think the explanation you are giving is the most likely one, your Internet provider can block websites if they want and if where you live there is such a strong religious opposition to gambling then it makes sense that your ISP does something like this, what can you do about it? Not much, as you stated using a proxy or a VPN in most casinos is a big no or you risk your account to be closed, so your only option is to gamble in reputable casinos which are not blocked by your ISP.
I dont think that ISP providers would really make out such decision even if that particular country is having a religion which doesnt like gambling but it wont be an enough reason
for them to set out national blocking of particular sites unless if the government would able to say so.
So you dont really be having any options but rather to deal whether you do risk out on using VPN since he had mentioned about playing on a particular site
so badly so take up the risk or would simply find another place to play.