Here is a list of files that contain Orthodox in Vanilla:
descr_character.txt - Doesn't need editing
Uses catholic and orthodox as names for agents, these are just names, they don't actually reference the religion.
descr_faction_standing.txt - Should be edited out
Uses the condition "TargetFactionReligion" in some of the triggers, possibly other instances.
descr_model_strat.txt - Doesn't need editing
Same as descr_character.txt, referenced entries and model names are just names.
descr_religions.txt - Should be edited out
Pretty self-explanatory
religions.txt - Should be edited out
Pretty self-explanatory
descr_religions_lookup.txt - Should be edited out
Pretty self-explanatory
descr_skeleton.txt - Doesn't need editing
Used in a comment by a CA Dev about strat models
descr_sm_factions.txt - Should be edited out
Determines faction official religion, needs removing and replacing with a valid religion.
export_descr_ancillaries.txt - Should be edited out
Used in conditions like 'CharacterReligion', will mess up triggers and may cause CTD.
export_descr_buildings.txt - Should be edited out
Used in the religion line below a building tree, which associates it with a religion for conversion bonus. Also used in building names but that is inconsequential. In some kingdoms campaigns like brittania, will be used for a lot more.
export_descr_buildings_enums.txt - Doesn't need editing
This file is deprecated, it isn't necessary for anything, and it just uses building names anyways.
export_descr_character_traits.txt - Should be edited out
Similar to export_descr_ancillaries, also uses the effect "Combat_V_Religion_[religion]" in some traits. Those needs removing, the triggers need editing or removing.
export_descr_vnvs_enums.txt - Doesn't need editing
Same as the building enums file, deprecated.
campaign_descriptions.txt - Doesn't need editing
Just description text of orthodox factions
event_strings.txt - Doesn't need editing
Same as above, text descriptions not code.
export_ancillaries.txt , export_buildings.txt , export_units.txt , export_vnvs.txt - Doesn't need editing
Just text descriptions and reference strings. Unless you edited building/trait/anc names in the associated code files, you won't need to edit these. If you did, you have to edit the corresponding entries.
descr_regions.txt - Should be edited out
The religion part of the regions will cause CTDs if not all the existing religions or extra non-existing ones are present.
descr_mercenaries.txt - Should be edited out
Uses the condition "religions { orthodox catholic }" and associated conditions in mercenary pools for some units.
descr_strat.txt - Doesn't need editing
Only uses it in building names, so those only need to be edited if you mess with the building names that contain orthodox. The catholic ai_label has nothing to do with the catholic religion.
All image files - Doesn't need editing
Don't need editing unless you went and messed around with building names or entries in the descr_character or descr_model_strat.
As you can see, removing a religion does not involve only 2-3 files. Adding religions is easy, removing not so much. You can have 10 religions(inc. heretic) in the game, and you can rename religions in the display files. Unless you're making a total conversion mod I suggest you don't try removing existing religions. If you're making a conversion mod, best to start from a blank base like alpaca's Stripped Down Mod Folder and build out, or you will have an extremely hard time of it.