The King of Spain is a Catholic, but Queen Sofia is from the Greek royal family. Did she convert or is she still Greek Orthodox? It wouldn't matter as far as this convention goes.
She converted
On May 14, 1962 she married Don Juan Carlos de Borbón y Borbón Dos Sicilias, Prince of Spain and the future king, whom she met on a cruise of the Greek islands in 1954. In doing so, she relinquished her rights to the throne of Greece and converted to Roman Catholicism from Greek Orthodoxy. The couple have three children: Infanta Elena born December 20, 1963, Infanta Cristina born June 13, 1965, and Prince Felipe born January 30, 1968.
She was born in Athens, Greece on November 2, 1938, the eldest child of the King of the Hellenes, Paul I (1901-1964) and his wife, the former Frederika, Princess of Hanover (1917-1981). Both her parents were descendants of Queen Victoria of the United Kingdom, and despite her country of birth, the family tree on both sides is almost exclusively German and Danish in origin. The Greek royal house is a cadet branch of the Danish royal family of Schleswig-Holstein-Sonderburg-Glücksburg, which is itself a branch of the House of Oldenburg. Her brother is Constantine II of Greece and her sister is Irene of Greece.
http://en.wikipedia.org/wiki/Sof%C3%ADa_of_Spain