Following a religion, entirely on the radio (4)
I believe the answer is:
holy
'following a religion' is the definition.
'entirely on the radio' is the wordplay.
'entirely' becomes 'wholly' (I've seen this before).
'on the radio' shows a homophone (sound like).
'wholly' sounds like 'HOLY'.
(Other definitions for holy that I've seen before include "Sacrosanct" , "Sacred" , "perfect, morally and spiritually" , "Sanctified" , "Charlemagne was the first" .)