If your dad shows an interest in your daughter, then that is nice.
BUT, if I was in your shoes, I would help him to see that he cannot exclude you in those interactions.
When he calls or messages or skypes, just be there chatting with him as well. Show him by your conduct that you don't respect the imposed restrictions that the religion has placed on your interactions.
Show him what is actual appropriate conduct by just being normal.
This will also show your daughter a powerful thing....
If he then tries to cut the interaction because he feels uncomfortable, that is HIS problem...not yours