Hope, you beat me to it! I agree with the religious undertones in this poetic refrain. When the question is posed, "Does thou know who made thee", Blake is posing a question in reference to the primordial creator of this lamb. What god is reponsible for the existence of this creature? What divine figure instilled life into this animal and gave it clothing? The question is resolved: "He is called by thy name,/For He calls Himself a Lamb." Although not as direct as a reference to sheep, this solution alludes to Christ as the shepherd. As Hope noted, the poem, as are many in the collection of
Songs of Innocence, are meant to appeal to children. This connection can be even more unpacked. Blake writes that God "became a child." Hence, there is a direct connection between children and the holy realm.