For some weird reason, the most Pro-EU countries usually have Roman Catholicism as the most important religious group (that is, the religious group with most followers excluding formally non-affiliated people like atheists). In fact, thanks to Soviet policies promoting atheism in East Germany, Catholicism is the most important denomination of Christianity in Germany as well. While traditionally Protestant Netherlands is fairly Pro-European as well, it also has the caveat that secularization has been more influential among Protestants than Catholics, resulting too in a Catholic majority in an otherwise Protestant country. Poland is apparently, the exception to the rule.
Conversely, Protestant nations like Britain and the Scandinavian countries are strongly Eurosceptic. While Orthodox nations like Romania, Bulgaria and Greece are like the humpty dumpies of the EU.
Now, I don't think there is a direct correlation due to the tenets of the Catholic religion, but I may be wrong here. Perhaps Roman Catholic countries do have a common history that make them get along better, despite all those years of secularization, particularly in France.