No, that's not the case. If you build a city before you found a religion (that is, your first city after your capital), the religion will almost always appear in that city. However, it's not simply the last city, as if you have multiple cities, it will be somewhat random.
It will not, however, appear in a city with a religion in it if a city without a religion exists.
Bh
It will not, however, appear in a city with a religion in it if a city without a religion exists.
Bh
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