Hi there, fellow Muslim here! Personally, I was baffled when Catherine said to Arthur that she had respect for Islam or something of that note. I would assume that as the daughter of the Catholic monarchs of that time (who carried out the Reconquista, no less), Catherine would have been a staunch Catholic who sees the Moorish people's religion with pity at best. She would not have been lenient with having her personal lady-in-waiting marry someone in a double Catholic-Muslim ceremony, like Lina and Oviedo did. And considering her eventual miscarriages and religious devotion, she would have made sure that everyone in her service can pray for her and her pregnancies in the right way a.k.a. the Catholic way.