Of course, the Great Other theory is contingent on first believing that the R'hllor religion is correct, and Martin has given no indication of that being the case. R'hllor coexists among many religions in Westeros and Essos, some of them prominent (like the Faith of the Seven), some of them tiny and regional (like the Drowned God). More than anything, religion in Game of Thrones is a tool characters use for organizing their societies and guiding their personal decisions.