The right to request a religious exemption stems from Title VII of the Civil Rights Act of 1964 which (along with analogous state laws) protects workers from discrimination on the basis of various protected classes including religion. Under the law, employers must provide accommodations for workers who are unable to receive the vaccine based on sincerely held religious beliefs, unless doing so poses an undue hardship.

There’s also medical exemptions, but those are mostly a hit or miss from what I’ve personally experienced