The only way that peeps can get any Devotion skills if there are no more blue-masks to convert is by learning it in the nursery. I suggest that someone who is a Master Devotee is used as the teacher;
the converted heathen chief is ideal for that.
They can increase Devotion skills by "honoring", but you can't train a villager to do that; they have to initiate it themselves, and they will only do that if they already have some skill.