Lenny, Carl, and Lisa are Buddhists. Krusty's Jewish. Most of the other main characters on the show patronize Lovejoy's church, which is clearly some unspecified Protestant denomination.
But are there any explicitly Catholic characters on the show?
Milhouse's girlfriend, probably Bumble bee man... Reverend Lovejoy once had a fight with a catholic priest in prison (hilarious) and Smithers went to the confession booth. Although I believe it's forbidden to be homo sexual as a catholic....I think...
Lenny and Carl were only Buddhist when Richard Gere was in town. They've been to Lovejoy's church enough outside of that to assume they're generally Christian (also, they're both Stonecutters [or were, until they became Nohomerses], and since the Sacred Parchment features a Masonic Square & Compass, it's safe to assume the two organisations feature crossover membership, which would rule out Buddhists, since Masons must be theists).
Smithers might be Catholic, since after he thought he shot Monty, he went to a confessional booth. Would also explain any attempts to hide any abnormal sexuality.
although smiters did go to the confessional, he is not catholic. he even says (thank you SNPP) "Father, I'm not a Catholic, but...well, I _tried_ to march in the St. Patrick's Day parade. But anyway, I've got a...rather large sin to confess...."
Yes, there was one character that I know was specifically Catholic. Samatha Stanky (Milhouse's one time girl friend). At the end of the episode, Samatha's father sends her to a Catholic school. The Canadian Nuns dance around singing "Dominque" on their guitars. She tells Milhouse how happy she is there.