Dead bodies are "gross". So perhaps neanderthals had the same concept as in modern English.
The bottom line here is that I see no more evidence than no evidence-- it's possible that they had religion, and many other things are possible. It's not concrete enough to establish probabilities/statistics, so we're left with the same evidence as no evidence-- anything is possible.
And in my mind, burying the dead likely preceded religion; it's a practical act that has many more reasons than religion. Later, it became associated with religion. In fact, there is even some possibility that it caused (or was part of the cause of) religion-- children asking their parents "why do we bury the dead?" and the response was some euphamism about the bodies staying preserved for the future-- not too far off from an idea of "afterlife".