How are the themes of faith and theology expressed in The Winter's Tale?
Consider looking at the consequences of sin in the world. For example, Leontes' jealousy results in the loss of his wife, his daughter, and his son.
Looking at Perdita, the banished daughter, might be another good way to take your argument. Begin with her name: in Latin, "Perdita" means "that which is lost." Faith in her just position as the heir to the throne carries her through to the end. This could tie nicely into a commensurate theme of faith, that of loss and redemption.
Still another way to think of the play from a theological standpoint might be to explore the consequences of sin at the conclusion. The Bible says, "The wages of sin are death." Here, although time has passed and the ending is bitter-sweet, time cannot completely erase the sins of the past. As the Shakespearean scholar Jean E. Howard notes,
The point of The Winter's Tale hardly seems to be that folly has no consequences or that earthly paradise is possible...Rather, the play celebrates the true miracle of partial restorations, of moments of exquisite joy wrested by work, art, and good fortune from the pains of the imperfect world men and women have made.
Now, if that isn't a perfect parallel to sin and redemption in the world, I don't know what is!
Work Cited: The Winter's Tale. The Norton Shakespeare Based on the Oxford Edition. ed. Jean E. Howard, pg. 2881