Nope. There's Goths of every kind of religion out there.
Most 'norms' tend to think that anyone dressed Goth is either a witch or a Satan worshipper, but this simply isn't true.
Being Goth is about loving the music, mostly, and dressing the part secondly. Religion is an entirely different thing, based on what you believe to be true [or not true] about the Spiritual Realm.