They aren't religious. Especially not Christians. I celebrate Christmas but none of my family is Christian - it's just a nice little day where we all get together as a family and celebrate.
They were all completely unaware of any Christian concepts in the Day Care episodes and made it clear that they've never been to church. Dewey believed the cross was a giant "t".
Hal simply believes in an "eternal paradise," not necessarily a god (Tiki Lounge). Him having qualms about painting over Jesus was, in my opinion, just an aspect of his character/personality, almost superstitious.
Also in Tiki Lounge, Lois makes it clear that she doesn't believe in any afterlife.
Ida (Ida's Dance) celebrated a fictional holiday "Saint Grotus' Day" and appears to be Croatian - so Lois' family is not Christian.
In Christmas Trees, Reese says "we're a bunch of godless heathens."
In Shame, Malcolm seeks out various religious leaders for guidance.
I think applying a any religion to their family would have taken away from the show... it was irrelevant. :thumbup1: