This could of course be inaccurate, but an article the fairly prominent Italian newspaper La Repubblica ran today explicitly states that Melania is Catholic:
“Melania, slovena naturalizzata statunitense, è di religione cattolica.”
(Melania, a naturalized American Slovenian, is of the Catholic religion.)
http://www.repubblica.it/cronaca/2017/05/24/news/trump_in_vaticano-166253830/
I wouldn’t be surprised if she was born Catholic.
Thanks for the info.