Read the news reports of their wedding. Melanias mother brought a large white candle for THEM to light that was used for her baptism.
(Her faith and religious practice is one thing she does not share with his other wives )
FWIW, I found a wonderful MSNBC segment from before the election. It is a visit to Melania's hometown. There was no mention of religion, but there were real good interviews with people she grew up with. It comes across what a well-raised, grounded, classy person Melania has always been, from a very young age.