At first Oskar follows his dads belief and is an atheist: he holds onto this after his dad's death. But after a while Oskar felt alone and not in charge of his life. He wanted someone to know his pain and someone to talk to about everything. Though he it may not say this but Oskar might want to belive in a higher being.
This also may tag on to the World's history. The reason that religion is so important to people and to a country's or government's success is because it unites people together and always gives them something to hold on to. Through any kind of time, whether it be a plague, economic downfall, or a death of a relative, people will always seek help and acceptance, which God or a higher being will always show.
It is surprising that the book/Oskar have a number of religious attributes around them. For example, Oskar's family linage is Jewish which makes Oskar's atheism all the stranger as Jews are normally proud of their heritage (one reason is for surviving it). Also, the color that Oskar wears, White is typically a color strongly associated with religion in some way, e.g. most Christian reliefs or murals depict Jesus in white clothing.
“Just because you’re an atheist, that doesn’t mean you wouldn’t love for things to have reasons for why they are.” (13)
“I changed the course of human history!” “That’s right.” “I changed the universe!” “You did.” “I’m God!’ “You’re an atheist.” “I don’t exist!” I fell back onto the bed, into [Dad's] arms, and we cracked up together. (86)
When Oskar talks about his idea of when you're dead, you're dead forever and that's the end of it, he is also revealing the fact that he doesn't believe in a heaven where his father may be. He believes that when someone is lost, they're gone forever and never seen again. This ties into his beliefs as an atheist.