Mehndi / henna is not a religious custom, though it’s a cultured one. It is traditionally used at times of celebration to dress up, or any time women got together and wanted to beautify themselves. Suggesting that mehndi / henna is religious to Hindus / Muslims, or Jews, would be like suggesting that nailpolish and eyeliner is religious to Christians. If you choose to have mehndi / henna done, it should not offend anyone's religious sensibility.