According to Britannica, he belonged to the religion of Yahweh:

"Elijah, also spelled Elias or Elia, Hebrew Eliyyahu, (flourished 9th century BCE), Hebrew prophet who ranks with Moses in saving the religion of Yahweh from being corrupted by the nature worship of Baal. Elijah’s name means “Yahweh is my God” and is spelled Elias in some versions of the Bible. The story of his prophetic career in the northern kingdom of Israel during the reigns of Kings Ahab and Ahaziah is told in 1 Kings 17–19 and 2 Kings 1–2 in the Bible. Elijah claimed that there was no reality except the God of Israel, stressing monotheism to the people with possibly unprecedented emphasis. He is commemorated by Christians on July 20 and is recognized as a prophet in Islam."

So, it seems a bit unclear what he was.