When you open the building browser for a settlement, it's only going to show possible builds (both current and future) in that settlement. At the beginning of a campaign, if you look at one of your cities that has no shrine at all, you will have multiple possible temple paths. As soon as you build one of them, all the others vanish from the browser. If you take over a foreign city, and it has a temple in it that is not equivalent to one of yours, you will not be able to upgrade it, and so no temples will show in the browser. Destroy the local temple, and all your options will appear at that point.