The question belongs to Meta, and when I click it, I go to this Meta site, but it is being shown in the main history.SE site. Is this normal or a bug?
It is the question about Jesus with the [migrated] chunk at the end of the title.
That's kinda what "migrated" means. It started out on the main site, but didn't belong there. The author had intended to post it on meta, but hit the wrong button. So it got migrated (moved) to meta. When you click on a migrated question, you get directed to where it got moved to.
For more information about migration, see What is migration and how does it work?