Pss Hélène of Orléans could not marry Eddy, Edward VII's elder son, because it would have require conversion to the CoE, something her father forbade.
The Pss was also briefly linked to Nicolas II which would also require conversion to the orthodox faith.
For Alix of Hesse it was a different matter. The wives of the Tsar and Tsarevich were required to be or convert to the Russian Orthodox faith. Down the line that was less important.
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.
Not a legal requirement for Princess Ena, but it was not imaginable at that time that the Catholic Queen (which is one of the titles of the Queen of Spain) was a Protestant. And at that time there was a state religion.
I know that Princess Alix of Hesse-Darmstadt, Princess Ena of Battenberg, and Princess Elena of Montenegro all changed their religions at marriage. This was understandable, since all three married kings or crown princes. My question is: was it a legal requirement in each case, or just an expectation?