I'd never get involved nor think it's right to to anybody who is married, unless they are already separated. If you do, then your relationship will eventually be doomed as well.
Few reasons, if looking elsewhere should break it off with them, not wait until a replacement is secured, using that person then leave them. Also if they do that to meet/be with you, then if you ended up with them you'll always know or suspect in your relationship downs that they'll be looking.
And as you just learned, you had your time wasted and pretty much got played. You were probably just her 'crutch' to be used when needed. She was already married. Whatever ordeal in her life and with her religion she got to the point she doesn't need you anymore so cuts the cord and gets you to agree to keep it a secret.
For the religious angle, hard to tell if the JW side really had anything to do with this or not.