The Quadling Country document is proceeding along.
A few days ago, Oz blogger Jared Davis posted a blog about whether religion exists in Oz. There is no real mention of religion in the stories. There is a church in the China Country in "The Wonderful Wizard of Oz", but the story doesn't dwell on it at all.
I think the next question is: What are the functions of religion and does Oz need any of them to be filled?
Although one commenter on Jared's blog described religion as a "search for truth", the primary function of religion is to unify a community. But most communities in Oz are unified by their unusual natures. The residents of Bunbury are edible for most of the other denizens of Oz. The Loons of Loonville are easily punctured, especially by the kitchen implements that populate Utensia.
Another purpose is to provide answers. Before there was science, there was mythology that explained how the universe worked. The fairies who enchanted the land of Oz have been around since time began, so there is no need to create myths when you can simply ask someone who was there.
Then we have the establishment of moral codes. Most of this is covered by the strictly temporal authority of Ozma and her laws, along with the various rulers and potentates that are below her.
Gregory Maguire's Wicked series does establish some religions for Oz. The main reason for this is that Maguire breaks from a few Oz traditions. Maguire's Oz is full of mortal people, allowing history to pass into mythology. Also, Maguire describes Oz as much less magical. The fairies are much more distant forces, and unlikely things require much more effort.
EDIT: Almost forgot: Another function of religion is the granting of divine power. From the D&D cleric to the WoW priest through Final Fantasy's White Mages, religious figures have often wielded divine powers in RPGs. This does not seem to happen in Oz. While it may be possible to get aid from a nature fairy, the process is very similar to negotiating aid from any other person, even if the result is more fantastic.