In Catholicism, limbo is a place in the afterlife where
those who die in original sin are sent rather than going to hell.
The Limbo of Infants is the hypothetical status of unbaptized
infants who die before baptism. It can also represent a place of
uncertainty in general.
So, Pi is right to say we're born in "limbo" because as babies,
we have no idea of God or any type of religion. Then, as we grow,
we learn from our parents or others about God and a particular
religion, and we believe what that religion teaches us. For most of
us, we stay with that religion for the rest of our lives,
practicing its beliefs. Somewhere along the way, some people may
become unhappy with the teachings of their religion and/or with
God, and they may try to find meaning elsewhere, whether
it's in a different religion or without religion at all. Pi is
saying for those people who do change from their beliefs, it
usually leads them into worse circumstances where they end up
losing sight of God and any religious beliefs at all. For Pi, this
isn't true because his belief in God is strong even though he's
interested in different religions.