I'd send a "polite bafflement" email (or Facebook message) the group. Eg "Hey guys, I'm confused. I thought we all agreed that the Kids' Bible Time would be at 4pm Sundays, and that Thursday mornings would be our usual playgroup time. So I was surprised to see [Religious Person] turn up today and start doing bible activities. Can anyone clarify what's going on?"
Hopefully, the other members will say "Yeah, that's not what was supposed to happen!" and it won't happen again.
Well, it seems to me you have a solution. You had three - counting you - mothers either walk out or ignore it. So - you have a new group. I would send the email from LifeOnPluto. Then, at the next meeting, if the rev. walks in, get up, announce "anyone who wants to continue the playgroup in the room next door/outside at the playground/in the hall way/at the coffee shop....Come with me!" Then off you go:-)
I bet they get the picture.
I like both of these suggestions. If this group is going to migrate to a religious type setting, then it's time to create a new group. I think first it should be clarified where this group is going. The majority might be shifting the focus, leaving the minority to part ways. These things happen, unfortunately. Hopefully you can still use the hall, as it seems a great location for all involved, but you might have to choose a different time.