Most likely, if he wants to marry someone who is unsuitable, religion wise, she will be asked to convert. I am not completely up to date with the marriage laws for the GD family, however, if they are like those in Britian, then either she converts, or he has to choose between her and the throne.
Furthermore - It is very unusual for an heir to marry someone who does not at least outwardly practice the religion of the royal family that they are marrying in to.
The only example that I can pull from mind is that of Willem Alexander and Maxima. She has not converted from her birth religion of Roman Catholicism, but she practices the religion (protestant) of the Oranje family.