The faiths of superheros work into many comic book stories over time.
Though he was Kryptonian, Superman practiced Methodism. Wolverine went through an Atheist phase but ended up Buddhist. Captain America was Protestant.
Beliefnet has a nifty list of Comic Book Superheroes and their Faiths.
The Thing returned to his street to give back a Star of David he stole as a punk kid. (A new version of 'The Fantastic Four' is exploring his Jewish roots.)
And now there's a new super-chick on the scene with religious values – the first female Muslim superhero- The Burka Avenger.
Find me a catholic or liturgical Protestant (aka Lutheran, episcopal) superhero then we’ll talk. There ain’t nothing about Captian America I can theologically side with 😉