Call me cynical, but I don't believe they really mean it... it's uttered by almost everybody, including atheists (no God) and Scientology enthusiasts (Star Wars is REAL), as has already been pointed out. Vague religious references are an inherent part of Western culture; then, too, the people who leave out God, family, etc. are liable to be pounced on by the media (figuratively, if not literally, speaking).
If we want to dig into over-the-counter NyQuil psychology, we could go into how the exultation of the moment, i.e. being onstage receiving an Oscar at a huge ceremony, might feel like a spiritual experience and put a person into such a mindset as they might start thinking about religion - even if they aren't normally religious. I'm not suggesting that it would cause devotion to God, but it might cause a general feeling comparable to religious devotion, which could be enough of a reminder to cause someone to thank God "just in case" (be they worried about offending fellow celebrities, the media, the public, or a potentially real Almighty).
'Course, it's probably all just part of the usual way things go (i.e., complete B.S.), but I like to feel sophisticated 🙂