How do I tell my parents that...?

It might just be better to avoid talking to them about it. While it's good to stay honest with yourself, it might affect your relationship with your parents, which isn't worth it in the long run. However, you should definitely tell them if the future you imagine does not align with some of their hopes, like you staying close to home. But there's no reason that you have to come upright and tell them that it's because of their religious or political beliefs. I would try to keep the peace if I were you.