If the non-reality of this world's religious entities is significant to your story, it will emerge organically as the story advances and you reach the points where this fact becomes significant.

If it's not significant to your story, why do you want to belabor the point? In the real world whether religious entities are "real" or "not real" is a question that most people don't worry about much and in any case there is no way to determine it on a purely factual basis -- even the arguments of committed atheists are largely founded on belief rather than proof, because (as any philosopher will explain) there's really no way to *prove* a negative, the most that can be proven is that no evidence for the positive has yet been presented.

So you, as the creator of your story universe, can decree externally that the religions the characters follow are bunk. If you're writing in an omniscient pov you can come right out and say so. If any of your characters are skeptics, non-believers, freethinkers, etc. they can present their doubts, either as explicit arguments or by demonstrating their skeptical attitude in their thoughts, observations, actions, etc. as appropriate to the story you're telling.

I don't think it's necessary to hold fantasy religions to a higher standard of proof or reality than real world ones. Very few people in the world today have ever personally witnessed a miracle or any unambiguous intervention of the divine in real life. Yet billions go through life with strong religious beliefs sustained only by faith (& by the confirmation bias & other cognitive biases that shape the experience of every human). Is any of it real? Who says? If it isn't, but there's still no proof (see above), what changes? Nothing.