The correct answer is delusion of grandeur
A delusion is simply a mistaken believe that is held by a person about himself, even when the believe is challenged by evidence suggesting the contrary.
This is simply delusion of grandeur and not control because the person believes they are the virgin Mary, attributing a lot of great influence to her. All over once the person has believed she is this special Mary who gave birth to Jesus. on the hand, it would be delusion of control if the person believed that Mary is talking to her and influencing her decisions.