You mean like aliens? Why shouldn't we be able to study them scientifically?
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No, I don't really think it is. Understanding the supernatural is not the emphasis of religion for most religious people.
Maybe you need this:
Dictionary.com Unabridged (v 1.1) - Cite This Source
su·per·nat·u·ral /ˌsupərˈnætʃərəl, -ˈnætʃrəl/ Pronunciation Key - Show Spelled Pronunciation[soo-per-nach-er-uhl, -nach-ruhl] Pronunciation Key - Show IPA Pronunciation
–adjective
1. of, pertaining to, or being above or beyond what is natural; unexplainable by natural law or phenomena; abnormal.
2. of, pertaining to, characteristic of, or attributed to God or a deity.
3. of a superlative degree; preternatural: a missile of supernatural speed.
4. of, pertaining to, or attributed to ghosts, goblins, or other unearthly beings; eerie; occult.
–noun
5. a being, place, object, occurrence, etc., considered as supernatural or of supernatural origin; that which is supernatural, or outside the natural order.
6. behavior supposedly caused by the intervention of supernatural beings.
7. direct influence or action of a deity on earthly affairs.
8. the supernatural,
a. supernatural beings, behavior, and occurrences collectively.
b. supernatural forces and the supernatural plane of existence: a deep fear of the supernatural.
So, how's you gonna 'splain the "supernatural" with "science" which studies the "natural"??