A manual for writers of research papers, theses, and dissertations, 7th edition - Kate L. Turabian 2007

Other sacred works
Abbreviations
Part III. Style 20 spelling

Many sacred works of other religious traditions are divided into parts similar to those of the Bible. Capitalize and set in roman type the names of the works themselves (Qur'an, Vedas), but italicize the names of their parts (al-Baqarah, Rig-Veda). Although there is no widely accepted method for abbreviating the names of these works or their parts, you may punctuate citations from them similarly to those from the Bible (see also 17.5.2 and 19.5.2). If a work has multiple numbered divisions, you may substitute periods or commas for colons or make other adaptations to clarify the location of the cited passage.

Qur'an 2:257 or Qur'an 2 (al-Baqarah): 257

Mahabharata 1.2.3

If your paper is in religious studies, consult your instructor for more specific guidance.