Orson Welles was not a Catholic and did not belong to any organized religion. When questioned about whether or not he believed in God, he replied that he was "an agnostic." While he was certainly knowledgeable about all religions and interested in reading about them, he remained, to the end of his life, a free spirit.
About his three wives. The correct spelling of his first wife's maiden name is Nicolson -- not Nicholson. (This error occurs again and again, and it would be nice to clear it up once and for all.) Wife Two, Rita Hayworth, was not a Catholic. Wife Three, Paola Mori, was raised as a Catholic, but she was not a practising one as an adult, even if she did baptize her daughter in her faith. And do we know this for a fact? In any event, Paola's religion had no effect whatsoever on Welles's own beliefs.