Supremacy Clause would not preclude a state from doing what the federal government cannot. That is the very essence of the 10th. Nor are the states specifically prohibited from creating a state religion. It would all come down to how literal a court interpreted any attempt. I'm not claiming my view is somehow infallible, merely possible. This conversation was for the fun and sake of argument.You might have something there if the amendments to the constitution were not subject to the provisions of the constitution. There is a clause, Article VI, Clause 2 that clarifies that the constitution, which includes the amendments is the supreme law of the land.
Supremacy Clause - Wikipedia
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