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While answering what if Lovecraft would pull a Hubbard and found his own religion, I answered that Hubbard was a exeption. American writers don't found religions. However, European does. At least if one is liberal with the religion label. Steiner founded Anthroposophy and Willhelm Reich founded his rather complicated supernatural set of ideas.
My favourite of the era is George Orwell. Granted he wasn't a central european but rather Brittish, but what if he founded a religion?