Same reason why businesses...err...I mean churches lease subchannels from obscure TV stations with limited coverage that nobody watches. Any avenue that can reach people will be used for as long as there is a good ROI.
I'm pretty sure this is just a church trying to get into the lucrative religious radio game. It probably won't last long due to the fact that the dial is already saturated with shifty religious programming and no one uses HD Radio. For Cox, they're not losing any skin off their back. Once the checks start bouncing, the subchannel can be easily turned off.