I would argue the idea that in the US religion is in any way actually oppressed is more vibes than reality. But vibes matter for votes if your party is the one seen to be against religion.
Remember that one of the two major US parties is basically the pro-theocracy party. The SCOTUS appointees by the former guy follow with that theme, of trying to impose a specific religions morality upon the nation, etc. So I think it's hard to say.
Christians do; many quite vocally, even aggressively. Thus the pushback.
There is opposition about certain specific religions, which come from the fact those religions were, and often still are, hostile towards other people. An example would be Catholic homophobia and misogyny.
tl;dr in the western world the “oppression against religion” is actually opposition against social pathologies promoted by certain religions
Aren't they? Sure, western religious oppression is not violent and nothing compared to what happens in say Iran. But there are many circles where coming out as religious is a terrible idea and religious people feel it and end up self-suppressing and hiding their identity. Who wants to be known as the Christian when the world has decided they are idiots at best or villains at worst? You never quite know when it's safe to open up and when you could face sudden social exclusion, bullying, internet mobs, career impacts, etc.
If this comment were under my real name I'm not sure I'd have dared type it with the way the winds are blowing. Even with anonymity, it's giving me pause whether it's really a good idea.