In the Darkstalkers games canon, she was raised Catholic by her adoptive mother Rose; in the UDON comics, she was raised in a Catholic orphanage by Sister Cecillia, who plays a large part in her life. In both of these sources, this is why she wears, or appears to wear, part of the habit - so while she may not be a nun or call herself one, the religious connection is actually very canonical, not bullshit. The Night Warriors OVA has her being ambivalent to organised religion. Why get worked-up over something so small?