Good Q, SO. My guess, taking U-U's seriously as human beings, is that they satisfy (or at least appease) their desire to have some sense of purpose and understanding of their existence, in a roll-your-own philosophy that makes minimal demands on their behavior and makes few truth claims (which intrinsically assert that other things are false).
Less seriously, I suspect that:
A.) More U-U's believe in UFOs than believe in the existence of god(s);
B.) More U-U's believe they are UFOs than believe in the existence of god(s) that are persons apart from creation.