You are the parents. I had the same situation. I told my parents-in-law that is they didn't knock it off, I would stop bringing the child over. I meant it too.
My husband and I were both atheists and his parents were stoned out Catholics from the old country. I did not want my son to be indoctrinated to hate his body, to be guilty of sin, to be fearful of devils and hell and all that rot, so I put my foot down. It took me years to get over the trauma of being raised by lunatics who are not reasonable or rational, but believe in invisible best friends, and dead people living and virgin birth.
They honored our wishes and we even asked our son if they had quit. We eventually moved away and didn't have to deal with his family or mine.
Put your foot down and check up. Most grandparents understand that they have no authority to override the parents. Hire a sitter. And visit when you are all together.