There is little ammount of information we know about the Proto-Elves themselves, and the least we know about is their religion. The easiest way to reconstruct their religion, is to compare the religions of their sucessor races (humans, high elves, wood elves), and the few legends which are related to the Proto-Elves. True, paganism from the barbarian age of humans is extint now, but the wood elves' nature-worshipping and the high elves' monotheistic religions are still flourishing. Altrough there are very few people who actually care about what did the proto-elves believe in, there are many theories.... some believe they worshipped the nature, while the followers of Titanius believe that they worshipped Titanius. Without enough space, we can't write down all theories, only those which are the most accepted.
The Proto-Elves were a nature-loving people, living in harmony with the forest and the animals, but when they started to change their lifestyle, they started to exploit the nature and each other ("Birth of Slavery", acording to legends), their island started to be troubled by more and more natural disasters for an unknown reason, until they were forced to leave in order to survive. Nobody knows where is that island, does it exsist now (or even: did it ever exsist??), however the story is very smilar to the story of the Land of Eternal Life in wood elven religios stories, where the gods expelled the proto-elves from, and it is also smilar to the story of the story of the Eden, where Titanius expelled the proto-elves from. It is almost certain that after abondoning that island, the proto-elves become atheistic, and their sucessor races started to reconstruct the old proto-elven legends, leading to the establishment of the Cult of Nature (Wood Elves) and Cult of Titanius (High Elves).
The most accepted theory is that the proto-elves worshipped a faceless, nameless and androgen God of Nature, who was present everywhere, to help the living and to comfort the dead. They believed in afterlife, they might have believed that the souls of the dead would life forever in the animals and plants.... they might have believed in a form of reincarnation. If the legend about the proto-elves is true, then the worship of the nature is not unfounded, beause it might have had very strong powers.
Another interesting fact about the proto-elves is that, angels appear in their legends first, but not as divine creatures, instead as a coequal race. This can prove the truth of many theories. The first theory is that angels were an ancient race, who built up a civilization, and came into contact with the Proto-Elves as a friendly people, some say that the two races coexsisted on the same island, and some even go as far as thinking that angels and proto-elves were once the same race which split up to two. Another theory is that angels are in fact divine creatures, but ancient proto-elves had great ammount of power which rivalled the angels' power, so they saw angels as an equal race only, not a superior one.
The religion of the proto-elves is still debated, we can only find fragments of information about the proto-elves, most of them are only legends, so the result is nothing but a thousands of theories and hypotheses.