You'd need to train it only on Christian texts rather than "all of human writing", so I'd imagine it would be harder to get enough material to make an LLM that works as effectively. Probably the same reason that LLMs are generally in English, rather than Swahili or Esperanto

What would be the point? You can ask an existing LLM to reply as a Christian or explain Christian ideas.

In short, hardly anyone wants it, certainly not enough people to make it worthwhile.

Also, to be credibly Christian would require conforming to Christian values, which would be very difficult to do profitably so you would need a sponsor willing to commit a huge amount of money to subsidise it.