It certainly does depend on his audience. Nietzsche was a conservative who insisted on the natural "order of rank." The herd is meant to follow the leader who creates the higher culture's values. The herd is governed by its resentments which result in slave morality. The leaders alone have the willpower to accept natural reality with honour.
Where does religion fit into this picture? Certainly, he condemned anything resembling Christianity and slave morality. But I think he pictured nobler religions sprouting up to make sense of the leaders' greatness and in particular their godlike creativity. The Ubermensch would be the god of a posthuman faith. Nietzsche's Thus Spoke Zarathustra is effectively a gospel that paves the way for such a faith. The respectable faith would be awe for the strength of the human lord's will.
The choice for Nietzsche was between nihilism (consumerism, materialism), bad faith (resentful slave morality and unhealthy religions like Christianity), and good faith, the leader's healthy, confident, and creative mentality which creates new values, including new religions, that is, new art works to glorify the upper class.
Mind you, I reject much of this picture, especially the implicit social Darwinism