Most clergymen will do a service for someone, even a murderer, because they would want to console the living and give them some peace.
For most Christians, the departed have made their choices before death and are considered to be facing judgment in the afterlife. Some Christians believe in Purgatory, where the dead - especially suicides - can still be prayed for prior to judgment. I don't know what the status of a double-murder-suicide would be, with Susan's disappearance also possibly due to Josh as well.
I think it's a safe bet, religion-wise, that Josh didn't have a last-minute conversion considering he did an axe-job on his children then lit a match to blow up his house before they were completely dead. He was apparently a sociopath incapable of knowing right from wrong, so whatever his beliefs, he wasn't following any Christian principles when he chose to kill himself and those boys.