1.5 cents worth
I see from your signature line that you are a Christian. That makes me all the more respect your stance on the situation. No, I don't think religeous beliefs should have anything to do with membersip in a shooting club either.
That being said, I respect the right of any private organization to establish whatever membership rules they want. I may well chose to not be a member, or even stand on the sidelines and call them out for the racist/sexist/X-"religeonist" that they show themselves to be though. Augusta National (golf course) has had a tough and public time with this, as have the Boy Scouts of America.
It will likely be tough for you to stand up for your beliefs within your (likely) small shooting community, but I applaud your thought and hopefully your speaking up on the issue.