Well, the easiest PoD for that would be to prevent WW1. Much of the European cynicism and irony towards life in general in modern European culture was spawned from the horrors of these two world wars, and the interwar period.
Another factor could be a different take on culture during the era of Romanticism in the 19th century. Even during this time, there were many people in Europe who were vocal Atheists, and/or people who were generally critical towards Organized Religion and keeping every tenet of it.
Unlike in Anglophone countries, being a "law-abiding citizen" either in Religious or Secular matters was generally not considered such a great virtue in European culture, than in the USA, Canada, Australia, or New Zealand, so I think a PoD that would generally make Europe more religious would be better sought in the 19th century than the 20th.
Another factor to look out for is that many Pagan-inspired local customs continued to be practiced in Europe way after the 19th century, and unlike in America, these were not persecuted, but integrated into day-to-day religious practice. For example, Romania is the most religious country of present-day OTL Europe, with most inhabitants subscribing to Orthodox Christianity, in spite of this, my Mother tells me that when I was a newborn, two deeply religious woman relatives of ours who introduced themselves as witches visited me from Romania in 1990, and tied colorful ribbons around my naked body while chanting something to imbue me with protection.