Religions are Composed of Stories
We can call these sacred narratives or myths.
They offer explanations of origins, morality, fate...
They may or may not be historically accurate.
They have characteristics such as non-human characters, mystery, bending of natural law...
However, if you choose to use the word 'myth,' keep in mind that in an anthropological sense, Jesus, Moses, or the Buddha is every bit as mythical as Zeus.