If your religion is based solely on things that had to have happened in the past - like the birth of Jesus, for instance, then that historical event has to have happened or your whole religion is false.

Non-historical religions like Shinto, or Confucianism or Buddhism (interestingly, none of these religions are desert religions) are not based on historical events. You can prove without a shadow of a doubt to a Buddhist that there never was a Buddha and they would not change a thing about their lives because the religion transcends the historical origins of the religion.

BTW, if you ever get offered a blue pill or a red pill, don't even wait for the explanation, just grab the red one and shove it down your throat.

You are much better off in the illusion.