I win!

"This US state boasts the largest number of Catholics per capita. (I'm not saying they vote in line with the Church!)" - Swissmiss

Update: What is Rhode Island?
What is Connecticut?*

And it only took 4 guesses + 4 guesses by others, and Swissmiss narrowing it down to a region of the U.S. - lol..

*Just saw that some net sources indicate Rhode Island has the highest percentage but that was my previous guess so I still win. ;)