Karlach was born and raised in Baldurs Gate. She was abducted to fight in the blood war. So yeah, nothing weird at all, she could have any god, though she is supposed to be good alligned, so probably a good god.
I wonder how that interacts with Zariel's control and Zariel's blessings. I mean, could a divine class lose access to its divine powers if the (good) god was in opposition to the 'patron'-type relationship she had with Zariel (an evil aligned fallen celestial)?