Reconstructing a PIE religion (as opposed to a few rather vague lexemes like "sky god") is regarded as less tenable today than in the past. The well-described features of Indo-Iranian religion are largely innovations and not found among speakers of IE branches that split off before. Some of Greek and Roman religion is actually the result of areal contact, not inheritance from earlier IE times.

You might want to read a scholarly introduction to the field (not a pop-sci one that is likely to be unreliable by definition) from recent years.

pretty interesting etymology connecting Dios, Jupiter, Zeus, etc. (Sky Father)

https://en.wikipedia.org/wiki/*Dy%C4%93us