This old article from DailyMail says her relatives in Slovenia are Catholic, and were aghast that she was not baptised in childhood, possibly since her father (but not her mother) was a member of the Communist Party back then before Eastern Europe was liberated from the Soviets—it was the way to get a job. Then again, DailyMail is often so inaccurate and secular, the reporter may have confused Catholicism with Orthodox—it wouldn't surprise me—Serbian Orthodox being the dominant religion in that part of Slovenia.
Melania was married to Donald by an Episcopal priest, but in a hotel ballroom; reportedly they as a couple had attended the Episcopal church near Mar-a-Lago well before he ran for President, and paparazzi were staked out there the last two Christmases and Easters to capture them and Barron attending services.
Here's a 1999 pic of Melania wearing a cross:
And here are Melania's parents arriving in DC for the Inauguration (mother wearing cross):
