It is absolutely your right as a parent and I think a word with the Head will ensure that that message reaches the teacher.
However, it is worth considering how much of an assembly is religious, and whether the tone of an assembly changes depending on the day or who delivers it.
At our school, the only religious element on most days is a prayer at the end that children are invited to join in with. Children who are not religious, do not join in.
Songs are not religious, and the message is usually one of self improvement, celebration of achievement, information about clubs or forthcoming trips.
At your school is it possible that, at least on some days, the assembly has virtually no religious content and the teacher thinks your child would benefit from attending?
Is it possible that on some days she is involved with the assembly in some capacity so cannot supervise your child?
Is it possible that your child sometimes looks like they want to attend, even if they don't want to admit that to you? I did have a child in that position once. It was quite uncomfortable keeping him out of assembly, knowing he was going to miss out on something fun, seeing him get quite upset about it at times actually, or left out of chatter afterwards.