You guys pretty much got it right.
Jesus, AFAIK, was not really thought of as a "historical" figure in the middle ages, the way the protestants (and maybe later Catholics) have thought of him. That's because the people didn't have the same kind of sense of history that we do. Mythology and history were not yet separated from each other. But yes, they did think Jesus had lived in the past. They depicted him as among themselves, in their own time. It didn't matter how long ago, or where, Jesus had lived, or at least it didn't matter nearly as much as the rest of the Jesus mythology. Although the places that were connected to him certainly did gain the "holy" status.
These holy places are probably the only problem with Harn. At present, I think in my Harn I can diminish it by just making it unusual / unfashionable to go on pilgrimages that long. But it certainly would be nice to have Harnic "equivalents" for them.
As for the rest of the mythology / theology, I want to keep it close to Xianity. Their holy book is the Bible, and so on. We can use Xian words and the names of biblical people and places, if the need arises, understanding that we're referring to Harnic "equivalents". But I don't think we'll be discussing such things that much.
The most important saints, especially Peoni, sometimes also Larani, are frequently mentioned, and are much more relevant and "intimate" to the people, than Jesus. (Mystics may think differently.) I'll try to make references to lesser saints as well.
My view of the Agrikans (I haven't used them yet, and don't think I will, any time soon) is influenced by Eastern Orthodox Church. Their Saviour is Jesus Pantocratos (?), who is a stern ruler, and much more central to their lives, than the Christ of the Peonians. Their religion is all about judgment and possibly holy war against the heretics who don't share their idea of Christ. Anyway, that's what I've thought so far, but like I said, I'm not even close to using them in the game at present...
Yeah, no Balrogs worshipped in (the main religions of) my Harn!