Religion: believes in supernatual
Name: Countess Caution
Number of Appearances: 1
Ally: Nick Fury
Occupation: private investigator
Note: Mycroft associate; dated Nick Fury after his death
Countess Caution was an associate of Mycroft (who would eventually be revealed as a villain) in his guise as a psychic detective. The Countess had a genuine belief in the supernatural. She was unaware that Mycroft was using tricks to pose as a psychic and that his partner in crime, Sir Gavin Ravenlock, was using tricks and illusions to pose as a ghost (the "Ghost of Ravenlock").
After Mycroft died, she went on a date with Fury.
Countess Caution was apparently something of a "psychic detective" herself, which is what Mycroft also purported to be. It is not clear that the Countess had any actual psychic abilities, however. Perhaps she just supported Mycroft in his investigative role.
Suggested links for further research about this character and the character's religious affiliation: