Confucianism isn't a religion so much as a philosophy and it's still quite engrained in Korean society and culture.
As for the actual religions, avoiding the Japanese colonial period would be a good start. The Joseon were quite opposed to Christianity (and Buddhism) so having them in control for longer might keep Christian repression going for a bit longer.
For Buddhism, either keeping the Goryeo alive or avoiding Ming intervention in the Imjin War (to force the Joseon to concede even more to the Buddhists, since OTL much of the repression ended due to the Joseon asking for help from the various temples to harry Japanese forces) would help to keep it the primary faith.
