for the type of knowledge you are going for I would recommend a native faith, most of which can rather easily accomadate focusing on delving into the lore of the setting.
There are some that are explicitly about knowledge and philosophy like the third sect of Ezra, Hala,Thoth(Akiri pantheon) and Divinity of Mankind. Then there are deities which have knowledge as their domain that while not explicitly about philosophy but do have the knowledge domain that can encourage it, so faiths like the The Ancestral Choir, Tvashtri(Rajian), and the Eternal Order. I could even see a Morninglordian or Lawgiver focus on learning about the world and its secrets and philosophy.
But yea if you are wanting a faith to learn about the setting's mysteries, I think the best route is a native faith.