Recall during the '08 campaign he was asked "Who was Jesus Christ?".
His initial answer was "A great teacher". Not, "Son of God, sent to earth to atone for the sins of mankind" or something like that. He did say something about "Son of God" at the very end of his answer, as an afterthought, but it was just an afterthought.
He's clearly not a Christian.
I don't think he's Muslim, either, because being Muslim requires worship of Allah, and The Won worships none but himself.