Let me start by saying that I don't know the answer, but one daughter married the Vasa heir, and their only surviving child converted to Catholicism, which suggests that she was raised Protestant -- could this mean that her mother was also Protestant? Another daughter married a Catholic Hohenzollern, and a third, the Duke of Hamilton (presumably a Protestant, but their daughter, Mary, married two Catholic princes). They seem to have been all over the place, but that doesn't tell us how they were raised. And of course the Grand Duke did not have a surviving son, which might have given us a clear answer.
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What religion were his children (by Stephanie Beauharnais) raised in? The reason for my asking is that he was a Lutheran, while his wife was a Roman Catholic. I know that he has lots of Catholic descendants today (e.g. the Belgian royal family). I'm just wondering about the first generation descended from this interfaith marriage.