Shakespeare creates the religion of love for Romeo and Juliet, so that although they sin, they may remain virtuous. Perhaps Shakespeare wanted to encourage freedom of thought from the restricted church.
'This holy shrine, the gentle sin is this: My lips, two blushing pilgrims, ready stand.'- Romeo, Act 1, Scene 5
'There is no world without Verona's walls but purgatory, torture, hell itself.' - Romeo, Act 3, Scene 3
Context around religion:
Romeo and Juliet was set during a time of religious and political turmoil. Europe was a traditionally Catholic society with a strong belief in a damnation for mortal sin.