In the 2003 SI SportsMen of the Year edition, they have a moment in Duncan's interview where he talks about the intersection of his religious beliefs with his relationship with David Robinson (who, of course, is very outspoken about his Christianity). He (Duncan) says that it's not a problem between them, that he does have his own religious beliefs and that DRob was respectful of that.
That's about as close as I think you are going to get. I expect, based on those statements, that he does have some sort of religious belief/belief in a higher power, but in what direction, if any, that extends, is clearly a private matter.