There is only one way to show Piety in the coliseum: bloodshed.  But the actual demonstration takes place off the field of battle, in the temples and halls of the gods.  Coin is the demonstration of piety they desire; the coin you earn in the Coliseum can get you anywhere you want to be.

Piety and Gold

Prices for earning rank in the different temples are highly competitive.  Temples want to make sure they take in as much money as they can but want to avoid giving fighters a reason to choose a lower priced temple.  Actual collusion on pricing is difficult given the differences in alignment, but a complex network of relationships has developed that keeps required donation consistent and stable.

The table below shows the recommended donations to gain important piety levels:

Piety LevelExpected Donation
1100
35000
1010000
2550000
50200000

Arena members may be adherents of Therosian gods.  Alternatively, they can choose similar Forgotten Realms gods and gain the same benefits or choose another god with a similar domain or domains. Additionally, Verasundia, patron god of the Dungeonsports Coliseum accepts worshippers.  (See Chapter 5: Coliseum Exclusives for) Details.

Iconoclasts in the Coliseum

Each God of Theros……Has Corresponding Forgotten Realms Gods
AthreosKelemvor
EpharaOghma, Selune
ErebosShar
HeliodLathander
IroasTorm
KarametraChauntea, Mielikki
KeranosTalos
KlothysSavras
KruphixWaukeen
MogisBane
NyleaMalar
PharikaTalona
PhenaxMask
PurphorosMoradin
ThassaAuril

While there are no gods an iconoclast will demonstrate their piety to, they can still gain the favor of a superior being.  Primus has long sought to demonstrate his superiority to the celestials, and as such has created the Freedom From Celestials Foundation (FFCF). 
                FFCF members of any level gain the benefits of the Iconoclast Supernatural Gift as outlined on pages 12-13 of Mythic Odyssey of Theros.  They are also able to purchase A Clockwork Scourge (see next chapter) from the FFCF.  When a member obtains a piety level of 50, Primus grants them his boon, a +2 increase to an ability score, and a +2 increase to the maximum for that same ability score.