The only things even remotely connecting the song to Christianity is the usage of 'Heaven' (not saying it's just a christian concept, just the wording of it in the song), and the fact that the original Bobby Dylan version was recorded as a gospel-style tune.
It's not a Christian Rock song. Dylan wrote it for a Western movie in 1973,and the song describes the main character dying because he was shot in a showdown,so he's "knocking on heaven's door".