Very tough situation because I know you don't want to tell your parents how you feel about the religion. My parents know how I feel about the religion but would still show videos to my kids. It had the opposite effect they intended, but my kids were old enough at the time to have their own minds about it.
This is awful for you, because your son is there every single day after school!! For three hours!! And I know how expensive after school daycare is, so you feel you have no other options. All you can do without changing your situation is keep talking to your son, make sure he stays skeptical about it. He sounds pretty skeptical already so that's good!