Definitely a story worth listening to twice, but I don't want to see a full length novel here. A great setting can be left undeveloped, I often find stories richer for not being set in the world of 9,000 other pages of fiction.
I see this not as a story about a journey, or faith, per se, but about the human need to reach out for any hope at all when things look completely hopeless. At the start of the story Ali is described as not particularly religious and he worries that he is going crazy like the guys who kill their wives and claim their prompts told them to. By the end, he hears himself speaking and sounds just as much the fanatic as the imam and the captain perceive him to be.
He followed the prompts because he had no better hope to save his wife, had there been a better one, at the beginning of the journey, he wouldn't have done anything so crazy. By the end of the story, he is willing to do anything, because what better hope is there? He is committed to his faith now because at each point he has no better option than to hope the prompts are helping him. If they aren't, what else is he going to do to be more useful? By the end, through repetition of needing this hope, he believes.
I personally subscribe to the powerful AI manipulating people on a larger scale than this story theory, but whether it is human criminals or AI, you can bet that after they leave Ali's "cut" of the theft under that fountain in front of his house, they'll be able to get him to do whatever else they need him to do, out of pure faith. He has become a useful, fanatically committed tool to whatever cause controls the prompts.
I really liked this story, it begins in media res and ends without any extra frills. An amazing economy of words, and everyone seems to agree a lot of worldbuilding occurred too. I think moving critical bits of the story between-the-lines enhances, rather than diminishes, the storytelling.
P.S. for those who don't get why the fountain was significant, from the beginning of the story:
"His thoughts went to her again, to his house behind the jade-and-grey marble fountain"