We are told both through Zalbag's biography and through Ramza's reading of the Germonik Scriptures that Zalbag is deeply religious, although this element of his character is never directly addressed within the game's narrative. Fanfiction authors (myself included!) often expand on Zalbag's piety in their works, but the game itself gives us little insight as to the characters relationship with religion. This is a shame as--along with Inquisitor Zalmo--Zalbag is one of the only religious characters not affiliated with some sort of Church-run conspiracy, and it would have been neat to see somebody deeply committed to the Glabados faith who wasn't associated with the crimes of the Glabados Church
Nevertheless, I think there is still a little bit of thematic payoff to characterizing Zalbag as pious within the context of Final Fantasy Tactics' narrative. Specifically, I think that if one is interested in reading the Church of Glabados as religion fundamentally about death, the fact that Zalbag Beoulve (and, for that matter, Mesodoram Elmdor) transform from pious war heroes into undead monstrosities is in keeping with that reading and underscores some of real horror underlying the game's palette swapped medieval Christianity.
I want to acknowledge that the material we have within Final Fantasy Tactics regarding the Glabados faith is honestly pretty sparse and that there's a lot of room for interpretation and invention. Within the game itself, we don't have much of a sense as to what does or does not constitute sin, what sort of afterlife one can expect, what God or (if you're playing WotL) the Gods are like beyond having Saint Ajora as their messenger and intercessor, or how the clergy actual function outside of devilish conspiracies. What we do get, however, is an overview of two of the major miracles attributed to Ajora in scripture: the miracle of the well and the Yudoran deluge.
I would argue that both of these can be read as inversions of Christian mythology. The miracle of the well feels like a warped intermingling of Luke 2:46's precocious Christ child chatting with the rabbis and John 2's miracle of the wedding at Cana. Whereas Christ's first miracle is to transmute water to wine, Ajora's first miracle is to reveal water as poison: the messianic figure's divinity announces itself in funerals instead of marriage feasts. Even more striking, the miracle that follows from Ajora's death is not a resurrection, but more death. The Saint's claims on godhood are not validated by their immediate return but through the slaughter of their persecutors.
It makes sense, of course, that a religion whose God can only be awakened via mass death should have a glorification of death baked into its theology. What I think is really worth exploring, however, is how the Glabadosian pious--even those pious in ignorance of Church's true nature--navigate a spiritual system whose end is mass death. Zalmo certainly reads as upholding the notion that death is Ajora's true glory, praying with his dying breath only that more sinners might be struck down. While we don't have any snapshot into the religious lives of either Elmdor or Zalbag prior to their transformations, I think that there is an obvious narrative satisfaction to be had in the perversity of two of the kingdom's religious warriors finding their greatest utility to the Church is as corpses.
As such, my inclination when trying to create narratives relating to Zalbag's faith is to always tie it into his horrifying end--to trace a path in which becoming a revenant, bereft of life and forcibly bound to others' will, is the ultimate realization of Glabadosian religion. While we cannot actually know what Zalbag's relationship with God or religion was (other than enough of a big deal for both Alazlam and Ramza to mention it), it can be fit into the overarching tragedy of his narrative.