"Christian" can either a noun or an adjective.
For example:
NOUN: He is a Christian.
ADJECTIVE: Fighting is not a Christian thing to do.
"Religious" is normally only used as an adjective. (Other answers and subsequent comments have noted that the word can be used as a noun but only in certain denominations, and notably faiths that historically use Hebrew or Latin as a language. I would suggest that this be disregarded if your goal is to be understood by most English speakers rather than appeal to a particular faith)
Your stated goal is to describe someone as deeply religious.
You describe using an adjective, and it would be incorrect to say:
He is a religious.
Therefore by the same reasoning it is also incorrect to say in English "he is a Christian religious".
The following are grammatically acceptable and will be understood by most English speakers regardless of their religious views:
- He is Christian (using Christian as an adjective)
- He is a Christian (using Christian as a noun)
- He is religious
- He is a religious Christian
Debates about what is / is not correct on other answers seem to be about differing religious doctrines, not common English usage.
To be understood by most people, keep it simple. You may be better using an alternative adjective to describe the person's devotion to Christanity, such as:
- Zealous
- Active
- Devoted
- Staunch
- Devout
This would also address the issue that "a religious Christian" is technically a tautology - that is repeating the same thing twice, like saying "a clever genius".