It happens very often that people think yoga is part of the Hindu religion, or that because I practice traditional Sivananda yoga which is based somewhat on the Hindu religious deities and other philosophies, that I am a Hindu.
While traditional yoga practices are spiritual (not religious) in nature, they are often associated with the Hindu religious deities because yoga originated in India where Hinduism is prevalent. Yoga practitioners can practice any religion, or none at all.
The quote above is from the AYA (Advaita Yoga Ashrama) website. They recently started a section on the Hindu deities which explains all this, and puts to rest some of the misguided notions about all the deities. If you want to know more about this, I recommend checking it out.
Pictured here is the Hindu God Ganesha, remover of obstacles.