Short Answer Yes and No. It depends on the person and the situation, the joke and how it made you or them feel and if feeling about this have been talked about before.
I mean honestly if you are my friend you wont make jokes out of my faith 1) bc I don’t have much of a sense of humor, 2) you know how integral my faith is in my life and 3) you respect me as much as I respect you. Some people are different and are ok with people making jokes out of religion. Take it on an individual basis, but preferably religious jokes are just as bad as sexist jokes in my book.