Zuko is looking just about as clueless as Wan. You can probably tell by the blank look on his face.

"I don't get it," he says at last. And... that's it. There really isn't a whole lot of religion and stuff from their world. At least not in terms of a single God or anything like that. People do worship the spirits, but Zuko's never really been all that into it. That's more of an Avatar thing.