At times, when it suits her. If IIRC, she was (once) a Catholic. Fact or fiction, but this is what is believed. “Don’t quote me on that”.
I guess Megyn can say whatever she wants to suit a particular situation. In the end, only God knows what’s in her (cold black) heart.
I think the way she lives her life pretty much tells us that she isn’t a Christian (Catholic or otherwise) in her heart. She’ll have to answer some day, and that’s between her and God.