Miqo'te have been in Eorzean for a few centuries. They most likely adopted the Eorzean pantheon at some point in their history. With Au Ra there is no history of them in Eorzea until very very recent history and come from a different country (or countries) under the rule of a dictatorship that iirc doesn't believe in any form of gods (and probably enforces said beliefs on the peoples under their control).