The church building is located at the bottom of the crater, next to the live atomic bomb around which the town of Megaton was built.
The citizens of Megaton do not mind the cult residing there as their technologies and workforce were needed to build the city, in exchange for it being 'built around the bomb.' The Children of the Atom seems to have existed as far back as Megaton's construction, as Manya mentions that they were instrumental in getting the town built.