US States with the highest homicide rates (2017 data from the CDC)

1. Mississippi - 20.50 per 100k
2. Louisiana - 19.90 per 100k
3. Alabama - 14.20 per 100k
4. Missouri - 14 per 100k
5. Arkansas - 13 per 100k
6. South Carolina - 12.70 per 100k
7. Tennessee - 11.50 per 100k
8. Maryland - 11.40 per 100k
9. Illinois - 11.20 per 100k
10. New Mexico - 10.80 per 100k

US States with the highest religiosity rank (2016 data from Pew research

1. Alabama 77%
2. (tie) Mississippi 77%
3. Tennessee 73%
4. Louisiana 71%
5. Arkansas 70%
6. (tie) South Carolina 70%
7. West Virginia 69%
8. Georgia 66%
9. (tie) Oklahoma 66%
10. North Carolina 65%

States that are in both top tens (alphabetical)

• Alabama
• Arkansas
• Louisiana
• Mississippi
• Tennessee
• South Carolina

So the top 6 religious states make up 6 of the top 7 spots for highest homicide rates. Its not complete proof, its obviously specific to the US, and its far more complicated than "religion" which is too vast a term to be meaningful for arguments like this, for example the Mennonites are strict pacifists and are both highly religious but very unlikely to murder you. Meanwhile there are plenty of non-religious murderers. But this data does seem to refute the claim being made.