@yellowdog,
Since the applicable definition of "religion" is "the belief and reverence for a supernatural power or powers," then any belief in God is a religion.
It's more accurate to distinguish "organized religion" seeing as how you mention Christianity and Islam from what you may perceive as an individual approach to one's belief, although there isn't a definitive line separating the two since one's beliefs about a supernatural power or powers derives from other's organized beliefs.
As long as you're not a harm to yourself and others, believe what you want.
Given all of the stories and legends involved, King Arthur is Catholic.