After the transfer of Alaska, most Russian subjects returned to their native country. This is understandable since conditions were not particularly hospitable and most Russians were simply in Alaska for work in the fur industry and had no real connection to the region. Most of the Russians who stayed behind were either independent traders or Orthodox priests. So yes, there was a continuation of Orthodoxy after the purchase.
In fact, if you read the treaty (which can be found on the Library of Congress website), you'll find specific mention of the Orthodox churches (referred to as "Greek Oriental") under Article II:
"It is... understood and agreed, that the churches which have been built in the ceded territory by the Russian government, shall remain the property of such members of the Greek Oriental Church resident in the territory, as may choose to worship therein."
The document also afforded Russian who remained in the territory full entitlement to the freedoms of American citizens, including the freedom of religion (Article III).
(The document can be found here: http://memory.loc.gov/cgi-bin/ampage?co ... recNum=572)