If you only cheat, you can't load the game without cheating again though. For a completely hassle-free experience, use the following:
First, you gotta look up the ID of the ruler you want to play as. Easiest way to do this is to create a "Test" save for day one of the game, and then search for the monarch name in parenthesis. Since I'm shameless, I'll explain this with the High Chief of Karelia, who is named Aimo in the Grand Campaign.
1) I create a save file named Test, so I can look up monarch IDs easily.
2) I open the file in WordPad and search for "Aimo" (remember, parenthesis included so you find the name="x" line of the character instead of everyone with that combination of letters somewhere in their name).
3) I check Aimo's ID and write it down (it's 28004).
Now we have the groundwork done, so let's move forward.
1) Launch CK2.
2) Begin the game normally by selecting a Christian ruler.
3) Activate the following cheat: play [character ID] (in this case, I type in play 28004)
4) Voila, I now rule Karelia!
Next you'll probably want to remove the save game restriction, so you don't have to fuss about with ID checking all the time. To do this, we use an exploit in the game's mechanics, which normally allow you to play pagans that converted to paganism. Luckily, there's a cheat handy for this thing too:
1) As your pagan/muslim/zoroastrian, activate the religion [name of religion] cheat.
2) You have to convert to one of the Christian religions.
3) So, you type in (for example) religion orthodox
4) Now you're a god-fearing Christian. You need to return to your roots.
5) Type in the conversion cheat again, in our example case of Aimo and Suomenusko: religion finnish_pagan
6) Huzzah, you can now load the game for your pagan as well!
And there you have, pagans unlocked. Though now someone has to start modding in stuff for them, like Mercs and so on...
Anyway, here's a list of all the pagan religions names as the game recognizes them:
Suomenusko = finnish_pagan
Romuva = baltic_pagan
Norse = norse_pagan
Tengriist = tengri_pagan
Generic Pagan = pagan
Zoroastrians are their own religious group, Zoroastrian = zoroastrian.
Muslims and their various fun subsections:
Sunni = sunni
Zikri = zikri
Yazidi = yazidi
Ibadi = ibadi
Shiite = shiite
Bektashi = bektashi
Druze = druze
Hurufi = hurufi