Maybe you missed watching it. If you didn't see it, then you wouldn't know. Thomas doesn't make a big public show of his religion.
I watched about 10 minutes of Justice Thomas' confirmation hearings, then I realized that it was a witch hunt and that I had better things to do than shout at a TV (back then there was no forum like FR to help). I'm not really surprised that he is Catholic (aside from the fact that few blacks from his generation were raised Catholic), his judicial philosophy is totally consistent with those of most conservative Catholics.