Can someone be religious and still be spiritually lost?
Yes. The account of Lydia shows she was a religious woman who worshipped God and had knowledge of God, yet she was still lost and her eyes were blinded by Satan. Only when the Lord opened her heart did she attend to Paul's message. Religion alone does not save; spiritual understanding must come from the Lord.
Les explains from Acts 16 that Lydia, a seller of purple from Thyatira, was a distinguished businesswoman who worshipped God. She was religious and had some knowledge of God, but she was still lost, just as lost as those described in 2 Corinthians 4. Her eyes were blinded by Satan. When Paul came, the Lord opened her spiritual understanding and her heart, but that in itself didn't do it. She also had to attend to the things spoken by Paul. So religious devotion and head knowledge are not enough; a person remains spiritually lost until the Lord opens their heart and they respond to His truth.
And a certain woman named Lydia, a seller of purple, of the city of Thyatira, which worshipped God, heard us: whose heart the Lord opened, that she attended unto the things which were spoken of Paul.