Jaime felt the urge to go to the small sept and pray but quickly fought it off. He had long stopped believing in the gods. Where were the gods when Aerys savaged his wife and raped her? Where were the gods when the Mad King burned Rickard Stark and strangled his heir while cackling madly? Where were they when he ordered King's Landing to burn? Where were the gods when Robert beat his sister in his drunken rages? No, If they existed, they were cruel. Praying to them would not achieve anything.