Bruno and his family are, of course, entirely fictitious, as is the entirety of the narrative of John Boyne's novel The Boy in the Striped Pajamas, and religion does not play a prominent role in that narrative. Other than a reference to Bruno's older sister Gretel's attempt to find solace in prayer ("She swallowed nervously and said a silent prayer that they would indeed be returning to Berlin in the foreseeable future . . ."), there is little indication in Boyne's novel that the religion of the non-Jewish characters is a factor at all. Given the relationship of Nazism to religion in real-life, however, that seems quite appropriate. Adolf Hitler was raised a Catholic, although his father was believed to have been an atheist (it was his mother who made sure that little Adolf was baptized into the Christian faith), but the future leader of Nazi Germany was known by his own admissions to be anti-Christian, as were many of his most senior officials. Despite the antipathy with which Germany's top leaders held Christianity, it is a fact that the overwhelming majority of Germans were Christian, with a slight majority of them identifying as Protestant and the rest as Catholic.
So, what does this mean for Bruno, the nine-year-old boy at the center of The Boy in the Striped Pajamas, with respect to religious affiliation? We can't know with absolute certainty, because Christianity plays an almost nonexistent role in the novel. If we apply logic, however, we can deduce that Bruno's family is Christian, as we know that Gretel prayed on at least one occasion and that the overwhelming majority of Germans were Christian. Beyond that, we don't know. A position like that to which Bruno's father was assigned -- the command of the Auschwitz death camp -- would have only gone to a high-ranking officer in the German Army, and one in good standing, as Germany's highest officials, including Hitler himself, Joseph Goebbels, Heinrich Himmler, Martin Bormann, and others placed a very high priority on the extermination of Europe's Jewish population and Auschwitz was a prominent cog in that machinery. Any officer assigned to command such an installation, therefore, would have had to have been well-thought-of by such high-ranking officials. That does not, however, mean that Bruno's father was anti-Christian, like the above mentioned Nazis. Statistically, it is likely that Bruno was raised a Christian, if only because that is what most Germans were, and it was presumably to God that Gretel had prayed.