Radio stations make money by selling spots to local advertisers or by selling off blocks of airtime.
On shortwave, you can't run commercials for local businesses because a) there's no way someone halfway around the world will be able to get to your store and b) a good number of people in the world are poor.
Therefore, the only option left is for private shortwave stations to sell off blocks of airtime. Who are the kind of people most likely to want fifteen minute, half hour or hour-long blocks of airtime? Religious groups.