Tommy and Toni could be Catholic Christians (in fact,Toni probably is,since he went to church in a few missions),because of their Italian heritage.
Niko is Serbian,so he's probably Eastern Orthodox Christian,but he could be an atheist since he was raised in communist Yugoslavia.
Johnny has Jewish heritage and was probably raised as Jewish,but at one point he mentioned he has given up on faith,which would make him an atheist or agnostic.
Michael and Franklin seem to be familiar with Bible quotes,so they could be Christians (also,there was a priest at Michael's fake funeral).
I don't know about others,very little is known about Claude's background, CJ doesn't seems to be very religious, Vic and Luis could be Catholics because of their Dominican heritage (from what I know,most Latinos are Catholics), Trevor doesn't seem to be religious, and I didn't play GTA Advance and CTW so I don't know much about their protagonists.