Assume your government participates in immoral wars that are unjust according to your personal beliefs and religious doctrine (for example Christian just war theory), is giving support to the government immoral in ethical terms or a sin in religious terms (assume Christianity if needed)? The government also does useful things and it can be claimed the government saves lives as well, and your funds are being partly used for a good cause (fungibility). Note that it is possible other institutions would save those lives if the government didn't.
To put it in other terms, let's say someone asks you for a dollar and with that dollar they will buy some medicine to save someone and a bullet to kill someone.
Of course there will be people who claim they have no choice, but plenty of people go to jail or die for their beliefs (for example Bobby Sands or Jesus), so I don't believe that argument is true. I think if someone is truly religious and trying to go to heaven, or truly trying to live a moral life, then they would want to avoid sinning or being immoral no matter what the consequence and would consider the answer this question.