If you’re able to stop and discuss the matter with whoever has made the comment, you don’t need a catchy response, and if you won’t be able to discuss it, there’s no real point in trying.
However, if you want to give the other person something to think about, you could simply say, “I’m not Christian” or “I’m not Jewish”. It’s not especially consciousness-raising, but it’ll maybe give them the idea their greeting a stranger in a religious way wasn’t really proper.
St. Valentine’s Day? You’ve been given a religious greeting for that?