Religion: Gypsy/Roma (raised)
Name: Groo the Wanderer
Other Names: Groo; Prince of Chichester; Groo the Barbarian
First Appearance: Destroyer Duck #1 (May 1982): "Groo the Wanderer"
Creators: Sergio Aragones
Number of Appearances: 165
Groo is a parody of Robert E. Howard's classic character Conan the Barbarian. Conan is an adherent of Cimmerian paganism who most frequently invokes the Cimmerian god Crom. Like Conan, Groo is probably best characterized as not particularly reverent or devout. But Groo is not known to invoke Crom, nor is he described as a Cimmerian, so there clearly are limits in the parallels between the two characters with regards to their religiosity.
Like most wandering swordsmen, Groo does not regularly attend worship services in a specific congregation or temple. But he has been known to participate in religious rituals local to places his journeys take him.
Groo's grandmother, Granny Groo, is a Gypsy (i.e., one of the Roma people). It was Granny Groo who singlehandedly raised Groo throughout part of his childhood and the entirety of his adolescence. The extent to which Groo himself should be regarded as a Gypsy or whether or not he considers himself a Gypsy is not clear. Groo's grandmother seems to have been too busy concocting criminal schemes to have spent much time teaching Groo many traditional Gypsy religious beliefs and rituals.
The Gypsy influence in the Groo stories, particularly embodied in Granny Groo, is not derived from Robert Howard's Conan stories. Part of the inspiration for this material may have been Groo creator Sergio Aragones' own experiences with Gypsy religion and culture in his native Spain. The approximately 1.7% of Spain's population who are Gypsy/Roma constitute a highly distinctive and visible part of the country Aragones was born in. But Aragones' family moved permanently to Mexico when he was a young child, so he did not actually grow up in a Spain. Mexico has some Gypsy communities, but not as many as Spain. Possibly Aragones' exposure to Gypsies is simply pop culture. Granny Groo embodies typical negative stereotypes held by Europeans about Gypsies.
Groo's own spiritual advisor is known as The Sage. According to http://en.wikipedia.org/wiki/Groo_the_Wanderer, the Sage is "a wise old man who is usually never far from Groo. The Sage often attempts to give Groo sound advice, but Groo's stupidity often means that the advice is misinterpreted and only makes situations worse... The Sage has known Groo since childhood..."
Suggested links for further research about this character and the character's religious affiliation: