I think that ancient religious systems were, as a rule, not antagonistic towards eachother. Judaism was an exception because it claimed to be the exclusive truth, and went around telling other people they worshipped false gods. Not sure about Zoroastranianism.

There is a culture penalty when ruling over settlements with a different culture than your own. Other than that I don't think that regular RTW offers any possibilities to represent religious hostility. Barbarian Invasion did have something like this, but it would take some effort to mod it in - and I'm not sure how it could be done appropriately.