You can't select out candidates based on their religion because that kind of discrimination is illegal in the countries you mention and also highly unethical. That means that you need candidates to self-select out.
That doesn't mean that you should put the fear of god into them over the conditions they'd be working in or otherwise sabotaging their hiring process because that's still discrimination. It means that you need to be crystal clear but entirely matter-of-fact about the requirements of the position.
You need to warn all candidates that the country where they'd be working has banned certain religious observations and while you don't want to infringe on their personal liberties and are not interested in their religious beliefs, candidates need to be prepared to suspend all forms of religious observation and respect the laws of the country they are in for the duration of their employment.
Don't ask about their religion. Warn every single candidate regardless of what you think or know about their cultural background. Once you've given that warning, your next question should be either "Would that be a problem for you?" or "What do you think about that?". While you should be able to trust candidates who tell you that they don't consider it a problem, you do need to have a short conversation about this. You don't want to hire people who are likely to cause trouble once they're on site. That doesn't just mean employees who would secretly keep practising their faith, but also people who would be unable to adapt to a culture that places more limits on personal freedom than they're used to. You don't want to bring in people who would be uncomfortable at your site for any reason. You should already have an extensive intro or presentation on the country's culture and laws that every employee gets before they're sent there. It would be good to integrate a shorter version of it into one of the later interview rounds.
Now, while this is how I feel you should handle this situation, you should discuss the best course of action with HR, legal as well as high-level management of all companies or office locations involved. This has the potential for a hideous amount of backlash so you need a consistent and clearly defined policy on this one.
Note that I've answered from the perspective of hiring employees for medium-term to long-term assignments in the country banning certain religious practices. If the issue is a training session that will only last a few weeks, it would be good to look into alternatives just in case someone is hired who later makes a problem of being sent to that particular country. You could also consider dropping the entire training program over this but I'd advise against doing so if your company will have a significant presence in that country for the foreseeable future with a high level of interaction between the countries (such as would be the case with offshoring). These kinds of training programs aren't just financially attractive, they also promote cultural awareness and personal development.