A world without Gods doesn't mean there is a world without religions, as atheists in the real world obviously know this. We've got plenty of religions in our world and 0 confirmation in gods, and 0 clerics, and 0 magic.
Yet people believe in all of those things.
Religions in Zalanthas:
I do agree there aren't really 'religions' in the traditional sense. Religions are pretty complicated things. There are BELIEFS and SPIRITUALITIES, maybe even some CLOSED SECT groups that you could consider religions, but we don't really have a religion in the traditional sense. The Southrons that worship Tektolnes don't really proselytize nor have a solidified canon of beliefs (We have the arena wall and thats about it), they don't have any ideas on what happens when they die (Which isn't only what religions do but is pretty important, which is silly. We should have northern/southern beliefs on death), though everytime I've seen people RP devotions (Atrium, that eastern dragon temple) it almost always appears to be a type of praying. On your knees, head down, eyes shut, murmering. People don't do this for 'ah yes he's just a dragon'.
Northern? I have no idea. I saw less religious-styled RP when I did play Tuluk ages ago and I have no idea how it is now, the north seems to be more of a Big Brother State compared to a 'Divine King' type one.
Tribals:
There are tribals that definitely have a religion of some sorts going on, tribals you can play in game. They've got beliefs on where you go when you die, what to do when you die, God-like figures (Or just spirits and the like). You've got all the makings of a religion I just don't think any of them really get on their knees and pray, but luckily religion doesn't require someone to get on their knees and pray to be a religion. These are CODED tribes, by the way, not some VNPC tribe someone made.
All a religion is, according to a basic google search, is "the belief in and worship of a superhuman controlling power, especially a personal God or gods."
(I've had classes in college about religion, by the way, so even I know it's generally 'more complicated' than that)
So even if we use that as the most bare bones definition: Southrons have a religion, the fear of Tektolnes (A super human controlling power), and most likely the North does to. Just because theirs doesn't live in a 'totally not spirit world' doesn't mean much. Theirs is a religion of fear and struggle.
So to really answer your question, "What are the major religious groups in Zalanthas"?
1: South/North city states.
2: A bunch of tribal groups that are coded, that don't actually mention their beliefs/spirituality in their page on the website so I won't list by name. There are around 3-4 of these, and they practice anything from ancestor worship, spiritual beliefs, have world creation theories that are supernatural in origin, and lots of other things.
3: Probably player made groups, VNPC groups and the like. I had one that had a number of Gods they paid homage to, you'll find tribals doing weird tribal shit everywhere. Ranging from "Me throw sand over shoulder to keep away bad luck spirit" to "I leave an offering of meat to the sky spirit out of devotion".