Maria Pavlovna the elder (princess Marie of Mecklenburg-Schwerin) remained a protestant when she married grand duke Wladimir Alexandrovich, but converted when her son came closer to the throne.
Elisabeth Mavrikievna remained a protestant throughout her entire marriage with grand duke Konstantin Konstantinovich.
Elena of Montenegro became the crown princess of Italy through her marriage. A Catholic nation and i believe it was more expectation rather than law that resulted in her converting.
Lutheran Astrid of Sweden married into the Catholic Belgian dynasty and converted a few years after her marriage. So it wasn't a legal requirement (the first Coburg king remained a protestant throughout his life) but public expectation was there.
Duchess Helene of Mecklenburg-Schwerin married as a protestant the crown prince of the French and remained in her faith. That was the reason why the marriage could not be celebrated in the Notre Dame in Paris (the archbishop would not accept it).
Queen Maxima of the Netherlands is the first Catholic consort of a Dutch monarch. I believe prince Henrik of Denmark still had to alter his religion when marrying crown princess Margrethe. Im not sure if Queen Silvia was a Catholic before she married the protestant king of Sweden.
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