I’m tempted to call that an exaggeration, but I’m too lazy to go find evidence to disprove your claim. I just can’t remember any case of supernatural purification in the Kalevala, for example, but it’s been a long time since I last read it. And pre-Christian Finnish mythology is poorly documented because we basically didn’t have a written language until long after Christianity replaced the pagan traditions, but the little I remember of that has no supernatural purification events, either.

In Christianity, purification was more often done by burning people at stake until they were quite dead, than by any form of divine intervention. Of course, the tradition of confession and absolution do count as supernatural purification.

It’s irrelevant anyway, because we’re not talking about every culture ever, we’re talking about a single, fictional world created by one man, with some inspiration to a handful of others.