I find this subject a little confusing, what is he? I always assumed Roman Catholic, but lets look at a few things.
Catholic: his father is Italian Italians are almost all Catholic, (those in or outside italy) Claims to like Christian rock, (although as a Catholic, i know many of us hate it, but I find it harder to believe someone of non-cristian background would like it) George's father is a member of the Knights of Columbus and to be a member of that group, one MUST be an active, practicing Roman Catholic
But lets look at the other side: He often insinuates he is circumcised, (uncommon in Italy and Catholics) Frank was seen praying with the Rabbi in The Finale
But looking at a couple of other issues raised in an earlier post about this: The mother may be Jewish and won't even drive a Mercedes because it's a German car - maybe, but all marriages involving Roman Catholics usually end up with the other converting, and also, the Italians and Germans don't always see eye to eye, (as can be seen at the moment over the EU constitution debate).
My opinion - catholic, but I hate it when script writers throw the odd inaccuracy in to confuse us.