What is the word for the person whose values
doesn't confine to that don't comport with those of his religion? Because he drinks, lies and is morally corrupt.
I would call that person a hypocrite. The two definitions nicely sum up what you're describing:
A person who puts on a false appearance of virtue or religion.
A person who acts in contradiction to his or her stated beliefs or feelings.
You could also call that person "fake", "a faker", or "a pretender".
If you want a more neutral way to say it, you could also go with "inconsistent", which is a less judgmental way of describing the same thing: that this person says one thing but acts another way.
Reading your title ("a word/expression for a man who has no religious values"), I first thought of amoral, immoral, unprincipled, depraved; but after reading the body of your question, which is a word/expression for "a person whose values
doesn't confine to don't comport with that those of his religion", I believe that you're looking for something else, and maybe this phrase fits better.
in name only
something that exists in name only has an official name, but has none of the qualities that you think of when you hear that name
Theirs was a marriage in name only.
For example, if X claims that their religion is Y (so X is a Yian), but always lies, cheats, and so on, you may say:
X is Yian in name only.