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For example, could I make a preist in Nerina, and played him more like a zen-buddhist monk than a rezplzthx-monkey? Or paladin as samurai, etc?
You certainly can make a more oriental-type character in Zhenshi. It's not required, of course, but the possiblity is certainly there. Indeed, it's encouraged to fit your character's background in with your country.
There are limits, though. Religions are the same all over Pyrathia. An Alshainite paladin is going to be expected to conform to that religion, no matter what his other traits.
If you're really looking for a monk-like priest, you might be happier with an amoral god like Sadal. Such priests are less likely to be caught up in crusades that might make little sense for your character concept. Another possibility is a shaman, which you can play as loyal to any ancestral spirits that suit your fancy.
Glad you're enjoying the place! Have fun!