I would like to thank everybody from my heart for their support!
I agree that this specific agency should have posted loud and clear on their website that they work only with Christians and save us both the embarrassment of rejecting a Jewish person because of religion.
About Mormons ... I am not familiar with the different Christian denominations. However, the adoption from which we got our son is also in Utah and all of the staff members are Mormons. The agency is non-discriminatory and for them non-discrimination is a matter of conviction. So I don't think that Mormons have a uniformed approach to adoption, and I actually had a good experience with some!
In my opinion, an agency that does not place a child in a home where a minority religion is practiced does not have the child's best interest in mind first and foremost but rather has a hidden agenda. That is "non-Christian" to me.
It is also my experience, similar to Yehudit, that in the United States, the only time I ever got noticeably discriminated because of my religion was when trying to adopt domestically. So why not choose international adoption? Well, I am forced into domestic adoption because I am Israeli citizen, permanent resident in the United States. The United States has diligently crafted some immigration laws to prevent from permanent residents to adopt internationally.
As an outsider, I merely observe how some of American's inner demons (racism, religious discrimination, discrimination of non-citizens, monetary greed, etc.) pop up in the adoption world, unhindered by the politically correct packaging. We have still a long way to go.
Again, thanks to everybody!

__________________
10/03/05: Signed up with domestic agency
10/24/05: Matched!!!
11/16/05: Beautiful son Kiran is born
5/19/06: Finalized!!!

9/17/08: Second time: Home study ready
10/22/08: Signed up with agency ... nothing ...
1/15/09: Had enough, signed up with attorney
5/12/09: Beautiful daughter Nanda is born
5/15/09: ... and placed in my arms