Since everyone else has covered 'it is morally wrong', I'll focus on another aspect:
It would be an indefensible policy.
The first time we're engaged in hostilities with the EU, then you would either have to expel all people of european descent. If we fight against a country in Africa, you'd need to remove all blacks.
Q:'That's different, aren't you talking race and not religion?'
A: Legally, this country has defined both as equal under the law. All discrimination legislation covers both religion and race interchangably. 'But isn't religion is purely a matter of choice?' Sure, in theory, but what real choice do children raised in a religious household have? Statistically, the vast majority identify with the religion they are raised with, even if they choose not to actively worship as adults.
With this said, I suggest that most people have a strong pre-disposition to the religion of their family, to such an extent that discriminating on that basis is as flawed as discriminating on race.
