According to the novel (at the very end), after the Great Massacre of 1955, Kay took instruction in the Catholic Church and went to Mass every morning with Mama Corleone to pray for Michael's soul. This "disappointed him...he wanted his children to be raised as Protestants...it was more 'American'..." [I'm paraphrasing]. This passage tells me that Kay was a Protestant when she married Michael--and that Michael may have preferred a civil or Protestant wedding to a Catholic nuptial.