I want to begin by pointing out that I’m simply presenting
canon information. That is, what we’ve seen
about religion in the strips.

Just because one nation follows the dominant religion of their
people doesn’t necessarily mean that they don’t hold their own beliefs or can’t
engage in the religious practices of other groups amongst their citizenry – all
I’m saying is that the latter point hasn’t been demonstrated in the series.

It’s also important to mention that the nations are
stereotypical personifications – they’re not characterized for specificity.

With all that in mind, religion in Hetalia encompasses a
generalized population rule. Similar to how they’re affected by the demographic
statistics of their citizens (e.g., their weight, income, behavioural habits),
the nations have also historically abided by the most dominant religion in
their country.

The Clergy as a ‘Boss’: 

Since the Church used to be the Head of State, they would
have also been the respective personification’s boss.

Ex: We saw this with England, who spent some time on the run
from a Bishop who ordered him to cut his hair.

The Personification as a Religious Entity:

Ex: Prussia first emerged as a Catholic religious order.

As a reflection of his people and their beliefs, he was
therefore extremely religious.

Ex: There’s also Knights Templar, who likewise represented
a Catholic religious order.

War:  

The Polish-Swedish wars are a good example of how the
different religious orientations of the two countries are reflected in their personifications.

Conversion: 

As mentioned above, the nations only follow a religion if it’s
prevalent within their population.

Ex: During the year 1000 [the Christian Millennium Apocalypse),
France and England truly believed that the world was going to end.

France feared going to hell. Because he thought they were both
going to die anyway, England fulfilled France’s last wish and pretended to be
conquered by him (ironic, considering that the Norman Conquest wasn’t that far
in the future).

Meanwhile, Hungary who had just converted to Christianity
that year, hadn’t yet acquired the religious beliefs that would have also made
her fearful of the so-called apocalypse.

Ex: There’s also this beautiful gem of a scene where Iceland’s
converted to Christianity. Note again how this happens only because his people
are being converted.

There is a Real God in Canon Verse:

Ex: Despite being a secular state in modern times, France
still believes in God. This is seen in his encounter with Lisa, Jeanne d’Arc’s
reincarnate.

Ex: Ancient Rome ties up God so that he’s able to leave Heaven and visit Veneziano.

Ex: God visits Hungary in her dreams and orders her to hit
France with her frying pan.

Ex: God visits Estonia in his dreams and fulfills his
fantasy to be surrounded by girls.

Of course, this wouldn’t be a religion-based post without mentioning the Vatican. While he doesn’t have an official design and appearance, Hima does say what his personality would be like should he ever become canon.