I can say that if you start Christian and convert to any kind of paganism, you can continue. If you save, you can reload as yourself, but no other pagan. I'm currently playing a pagan now.
Tried that, didn't work. The only way for now is to use the char-change cheat.Presumably then you could start a game as a random christian character and then immediately save and quit. Then edit the save game to say the 'active' player character is the pagan or muslim you actually want to play with and see if it lets you reload as them instead.
Can't you just use the demo "exploit" and click on a pagan while the map is zooming in?
I haven't tried that on the full version, not sure if it still works.