I think the only possible trouble with allowing such a group is if it would be led by someone in top management (CEO, company president, etc.). You never want to have a situation where people should feel they are going to be treated less favorably if they don't participate in such a group.
Depending on your company's make-up (including size), you might want to consider whether the "small" group that's being started now may someday become a large one where more employees than not are participating. If the group does become big, it's important to communicate that participation in such a group has no negative or positive impact/reflection whatsoever on employees.
For that matter, perhaps this should be part of the policy that babaHR suggested you create when it comes to these groups--that being a part of any of them--or not choosing to take part--has no bearing on their performance.
You don't want non-participants of a prayer group believing that a colleague received a promotion because they prayed with their manager twice a week.