Thanks for the update, OP.
I think you're right in that since you haven't been explicit about things, they might not understand where you stand. "I don't believe in your religion" doesn't imply "I don't feel comfortable in your religious services" to everyone, and clearly here it definitely needs to be said.
Your in-laws try to encourage your daughter to say grace? I hope you jump on that early before it grows into something potentially problematic. It really sounds like you have a family that needs to be told politely but directly about these things, since they haven't worked it out for themselves. "Oh, we're not bringing our daughter up to be religious, so please don't teach her to say grace/pray/etc."
If they continue trying to force things after you've told them directly, then I'd be worried. That's a whole different kettle of fish, though, and if they're respectful of you and your family then it won't happen anyway. For now, it really looks like they just don't know and you need to tell them.
5 year old nephew? In that case, the only way I can see him being disappointed is if his mother tells him things like, "Everyone will come to see you, except Green Bean because she doesn't want to." I mean, come on. He'll have friends and other relatives who won't be there, for a start, so it's not like he'll be assuming that people who don't come don't care about him. He's not old enough to keep tabs on all the people in his life and whether or not it's reasonable to expect them to be there, and so on. The only way he'll be disappointed is if his mother wants him to be. Her whole "he'll be disappointed if you don't come" is nonsense and is just a form of guilt-trip pressuring.
I think you need to make things very clear to your family now to save yourself more trouble later. Even with that, though, SIL's whole guilt-trippy thing is a bit of a worry, and not entirely explained by her not understanding that her beliefs are different from yours. Maybe just make a mental note of the behaviour in case it becomes a pattern. I hope not. People here have suggested good stock phrases to use in case she tries this again, though, so I'm sure you'll be fine.