Dylan converted to Christianity back in the 70's and a couple of his albums from that time are full of Jesus-Freakery.
There is one reason I can think of an atheist coming out with a Christmas Album: money. I'm curious as to who these atheists were and if the songs they performed were Christian or secular.
I've only heard one Dylan song from his Christian period, "Gotta Serve Somebody," and I have to say, I think it's quite good. I'm not usually a fan of Christian rock, but that has more to do with the performers than any beliefs in the lyrics. I don't care if you write a Christian lyric (I like Neal Morse), a Satanic lyric (I like Slayer and Mercyful Fate), whatever, as long as the music is good, it's fine with me. Dylan going Christian is just a small phase in an ever changing career, and it makes Dylan that much more interesting to me.
I did get to hear Dylan's Christmas album this past December, and I thought of it as a fun novelty, but not something I'd listen to often. Dylan's just going to do whatever he wants anyway, he's always been like that.