From HotPress in an article titled "Björk on the Wild Side", dated 1994:
Q: Who does Björk pray to?
Björk: "I've got my own religion, " she concludes, giving her nose a final scatch, poke and lug before heading off for a soundcheck. "Iceland sets a world-record. The United Nations asked people from all over the world a series of questions. Iceland stuck out on one thing. When we were asked what do we believe, 90% said, 'ourselves'. I think I'm in that group. If I get into trouble, there's no God or Allah to sort me out. I have to do it myself."
From Les Inrockuptibles No. 14. (June 16, 1995):
Do you believe in God?
I do not believe in religion, but if I had to choose one, it would be Buddhism. It seems more livable, closer to men.
More on Buddhism, from Raygun, Sept 1997
RG: Did you enjoy your performance at the Tibet Festival?
Björk: I did, but I've been reading about reincarnation, and the Buddhists say we come back as animals and they refer to them as lesser beings. Well, animals aren't lesser beings, they're just like us. So I say fuck the Buddhists.
(The contributor DY notes that not all Buddhists believe in reincarnation, so this needn't be taken as her rejection of Buddhism.)