We could have a single "religion" category, that includes religions not actually practised. Seems the best solution.
I agree. Many people would be turned off by having their beliefs categorized as mythology, but I think almost any believer who isn't a fundy can at least acknowledge myths as other people's religions.
Wordpress can do subcategories, and one post can be put into several categories at once. You might, for example, categorize Hinduism as "Ancient religion," "Currently practiced religion," and "Polytheism," all at the same time.