"I am a WASP" -- Ann Coulter in The New York Observer
"Asked if she is a fundamentalist Christian, Coulter told interviewer David Bowman, "I don't think I've described myself that way, but only because I'm from Connecticut. We just won't call ourselves that" (2003)." -- Wikipedia entry cited above.
It's possible she is not a 'practicing' Catholic now, so just calls herself a Christian rather than naming a denomination.