In Song of Storms, the religion of the Pegasus tribe gets mentioned several times. Is it still practiced in the modern day? If so, what gods do Dash and Fluttershy pray to?

Two of them are...

More seriously, traditional pegasus religion was largely a victim of Celestia's humility. Celestia insisted that she and Luna were not gods, and felt an ethical obligation to publicly explain that she had never known a Mobius or a Garuda or whoever. This wasn't because she subscribed to some sort of evangelical atheism or other massive ideological objective; she was just honestly answering the questions ponies intuitively asked when two (and only two) of their deities just dropped out of the sky.

Traditional pegasus religion died out for all practical purposes in Everfree City within about four generations of the Sisters arrival. It survived in River Rock (even to the point of it taking on the name Stalliongrad) for some time longer, owing to both the physical and cultural divide between Cyclone's exiles and the core of Equestria, and the fact that most of the ponies left there were Cirran traditionalists. By the time of Stalliongrad's incorporation into the government of Equestria proper, however, the most common mentions of Mobius would be found on statues and tombs, rather than in temples or the prayers of living ponies.

In modern Equestria, there exists a church to Celestia, which is currently very much struggling to deal with conflicts between their canon and the very existence of Luna. It should be noted, per the above humility, that Celestia refuses to recognize this church because she does not consider herself to be a deity. Still, ponies can be very stubborn--especially when convinced that their goddess is merely "testing their faith".

Perhaps moreso than even Celestia's interference, however, modern Equestria lacks a sense of an organized religion because the mechanics of the afterlife for ponies are an established fact that leaves relatively little room for interpretation. Necromancy is strictly licensed by the Equestrian government (mostly used as a supplement for forensics in guardspony work), but anypony with a library card can check out books describing in fairly simple terms how the Summer Lands and Tartarus work--at least, to a degree that would satisfy the average pony's concern about the destination of their soul. Lacking that sort of certainty, due to the lack of unicorns to practice necromancy, is a large part of why Cirra developed its pantheon in the first place.