Reading up on the Key of Solomon...
"Book II describes various purifications which the operator (termed "exorcist") should undergo, how they should clothe themselves, how the magical implements used in their operations should be constructed, and what animal sacrifices should be made to the spirits."
There's a few reasons it might be AHS as well. FX (the network it is on) is a subsidiary of FOX networks. Nuns are sisters, and of course the devil plays a large role in season 2.