would support religion but not Christianity because that inevitably leads to progressivism

Depending on which neoreactionary. The neoreactionaries I'm familiar with, admittedly a tiny subset, are pro-traditional, i.e., non-progressive Christianity.

I also don't know an example of a real country without elections where I would be tempted to move.

How many real countries do you know without elections, period? I here the UAE is rather nice.