In ancient Hebrew and ancient Greek, there was no T/V distinction, so their equivalent of "thou" was never considered informal. Some Early Modern translators of the bible tried to preserve the thou/you distinction as it existed in ancient Hebrew and ancient Greek, while deliberately ignoring how it worked in the languages they were translating into. This then influenced the language of prayer.

Another pattern is that religious language tends to be archaic. For example, Jews pray in ancient Hebrew, Muslims in classical Arabic, some Catholics in classical Latin, and so on. I don't know whether this is done to create a sense of awe and mystery, or because religions try to appear unchanging.