Technically ...
I suppose that if one goes by the dictionary, any story based on religion is mythology and therefore can be put into the literary bin marked "Fantasy," but this strikes me as going a bit far. The Left Behind series by Tim LaHaye and Jerry Jenkins doesn't strike me as the usual Fantasy fare, however. A lot of the story stretched credulity, but not the religious aspects. It was very firmly grounded there.
It heartens me, at least, that iTunes categorizes A. A. Milne's The House at Pooh Corner as a Mystery along with Ian Fleming's James Bond books and Chitty-Chitty Bang-Bang.