I started the game with 10+ population and immediatly chose my religion ( shamanism ), I built 1 holy site and chose a tenet, but I saw this after choosing the tenet:

First I thought the AI is placing a holy site down as soon as I choose a tenet, so I rolled back a save and delayed choosing the tenet and this happens every single time.

Here is the save of the turn where I have my holy site built and I'm able to choose the tier 1 tenet:
Choosing Tenet Turn 31, 2 holy sites alrdy built.ctr
Everytime I pick the tenet in this save, I see 2 holy sites alrdy built under my religion.

I continue playing the game to find out what kind of holy site they have, I chose a different look for the holy site when I picked the tenet, so I figured I'll find out what the holy site looks like to know what happened. Turn 36 I ally the AI and see that the holy site is not the one I chose for tier1 tenet nor the one I chose in the beginning shamanism(stone rings), but it's actually an obelisk.
Here is the save where I have uncovered their map and see the other holy site of my religion:

Allied with green, view of the holy site.ctr

So here is what I think happened:
Since I started my religion very early, I converted the green into my religion before they built their own holy site, possibly while they were building it. So when they finished it, it became a holy site of my religion.
On my other saves, later in the game. Holy sites in converted territories dont become my holy sites, so I think this should not happen.