probably tribes in remote jungles

There is evidence of what may have been religious acts, mostly in the form of what appear to be ceremonial burials) carried out by humans during the Middle Palaeolithic Era, which ended around 50,000BP, and even surviving artifacts from the Upper Palaeolithic that followed it (eg the Venus of Willendorf, a carved female figure which is somewhere in the region of 26,000 years old).

However, it's possible that religion wasn't invented by Homo sapiens - in Bruniquel Cave in France there is a stone circle made of broken-off stalagmites, thought by archaeologists to have been created by Homo neanderthalensis 176,000 years ago. Personally, I'd guess at religion being even older (which it could be; there's disputed evidence for religious acts in the Lower Palaeolithic, ending before Homo sapiens had even evolved) - I reckon it probably dates back about as far as self-awareness, at which time our distant ancestors would have started wondering where they came from, what that big shiny thing in the sky was and if there might be some way to keep lions away. As we can still see today, people who don't have a ready supply of facts to hand (today, because they rely on Fox News to tell them all about the world; in the Lower Palaeolithic because they hadn't had time to amass any yet, and were too busy avoiding lions) tend to come up with some fanciful conclusions.

The last religion is impossible to name since none of us can predict the future and new ones emerge all the time.

Of the big 3 Judaism but many pagan religions before that.

Too far back in antiquity to have any real idea, we can only trace back as far as man made records of some sort. I assume some nature based religion. You can picture how it goes, some wild animal attacks a group of primitive humans, they are all terrified, but it takes one and leaves the rest alone. This happens a few times, so they get smart. Petey is a pain in the ass, so next time the predator comes, they tie Petey up, it gets Petey and the rest are fine. Human sacrifice.

I think Scientology will die before Christianity ends the world, so Christianity may be the last religion...

Sun worship, if I remember my anthropology classes....the last one is whatever religion someone started today...haha