Humon is known for her interest in comparative religion and mythology, and as prime fodder for cultural differences, it could hardly be left out of Scandinavia and the World
As is typical for recurring topics, religion crops up mostly in the form of culture clash--one character finding another's take on the matter off-putting. The Nordic countries are all highly secularized and religion is considered a private matter there, so the central characters rarely clash on these terms; usually, a non-Nordic character provides the friction.
Of the Scandinavian characters, Norway is the most religious and Sweden--an outright atheist--is the least, as he wasn't even aware of God's excistance, much to America's shock. (Although he did attend FennoSwede's christening.) Denmark , Iceland , Finland and Greenland have not shown much interests in religion, so it is possible that they aren't very religous or at least don't really care about religion. So none of them are particularly devout...despite the Christian cross on their flags, which has been known to cause trouble with France and Italy and their enforced public secularism. On the other hand, America is loudly and proudly religious (conservative Protestant, in all likelihood) and doesn't hesitate to preach when someone offends his sense of morality.
A few other characters use religion to inform their actions. Mexico is a strict Catholic and will not have sex before marriage. The Vatican's one appearance to date had him horrified by the Scandinavians' pagan-seeming Christmas traditions. Iran and Iraq have been shown fighting, a presumed reference to Sunni-Shia hostilities. Faroe Islands, like America, is homophobic on religious grounds (Ironically, he himself finds gay men arousing).