There can still be. It's possible for there to be a correlation between thinking style and religiosity and a different correlation between IQ and religiosity, even if thinking style and IQ are uncorrelated.
Looks like this study was trying to focus on the former while filtering out the latter.
Ha, you're right. I had to convince myself with a concrete example because it's so counter-intuitive ( at least for me) .
http://psychcentral.com/news/2011/09/21/cognitive-style-tends-to-predict-religious-conviction/29646.html
I think this is the source but I can't be sure:
http://www.apa.org/pubs/journals/releases/xge-ofp-shenhav.pdf
http://lesswrong.com/lw/7o4/atheism_autism_spectrum/4vbc
Reddit /r/psychology discussion