The story
From a- + atheist, a negation of a negation. Technically (and disregarding this word's informality and humorousness), it should have been “anatheist”, with the euphonious prevocalic alpha privative (i.e., an-), from Ancient Greek ἀν- (an-); compare anaesthesia (from an- + aesthesia), anarchy, anorexia, and anaerobic.
Etymology from Wiktionary, CC BY-SA 4.0.