Well, yes: this was also the arrangement for the interfaith union of a Danish Protestant prince (youngest son of King Christian IX) and a French Roman Catholic princess (a great-granddaughter of King Louis-Philippe of the French).

The couple became the parents of four sons (all brought up as Lutherans, like their father) and one daughter (brought up as a Catholic, like her mother). Back then the throne was bound by the Salic law, so it didn't matter that Princess Margarethe (who at one point was thought of as a potential bride to the future Emperor Karl of Austria-Hungary, but who instead ended up marrying Prince René of Bourbon-Parma, a brother of Empress Zita) was not of the religion of the Danes.

Her own only daughter (Princess Anne), however, ran into conflict when in 1948 she married the recently deposed and exiled King Michael of Romania, who was Eastern Orthodox. Pope Pius XII was adamant in his insistence on the couple promising to raise ALL children as Catholics, as a term for a dispensation.

The mothers traveled to the Vatican in the hopes of petitioning the Holy Father to back down on his demand -- but to no avail (Margarethe is even on record as having banged her fists on the table). As it was, Anne and Michel married in Athens in a Greek Orthodox ceremony -- for which the bride was denounced (but not excommunicated) by the Vatican.

But the marriage was eventually validated in the Catholic Church (the couple undergoing a second wedding ceremony in Monaco, in 1966). Ironically enough, the union produced only daughters -- excluded from the Romanian throne because of the Salic law: therefore, it would not have mattered if they had all been brought up as Catholics. In any case, the kingdom (unlike the grand duchy of Luxembourg) is long deposed, with no chance of restoration.

So in the end, the religion of the members of the royal family is irrelevant.