Surely they can run some extension cords and use electric heat if they don't want to do oil heat.
Big buildings, tall ceilings, ice cold plaster. It would take a lot of kilowatts to generate the btu's necessary to heat from dead cold to room temp for Sunday Services. They would have to start a few days ahead, and I assume heating with electricity would be 3x-4x more expensive than oil. Could be too much for the church to bear.
Where there is a will, there is usually a way. OTOH, officials may have shut those churches through winter months no matter how they try to heat them because muh climate change.