What group of paris artists immersed themselves in religion to flee modernity?

Les Nabis.

Deriving their name from the Hebrew word for "prophets," the Nabis were founded by Paul Serusier, and were active in the late 1800s into the first decade of the 20th century.  A number of members of the group were of Jewish background, so that's part of the explanation perhaps for the "Nabis" name for the movement.  There was a desire to see art as a medium for revealing deeper truths.  Their motto was expressed like this:  "Sounds, colors, and words have a miraculously expressive power beyond all representation and even beyond the literal meaning of the words."