The problem involves three modifying prepositions: at work, on Sai Baba, & about religion. It often is difficult to decide which order you should use, because not all can be placed where we might want them. In this casse, I think I would eliminate one.
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KrishnaBhakta
KrishnaBhaktaDoes it mean our conversation at "work" was on "Sai Baba" or "work on Sai Baba"?It could be either one, but I take it as the first -- not as "work on Sai Baba".