The children are not neccessarily being raised Catholic, as it is tradition that the children take the religion of the mother. However, have we seen the christening of any of these children?
If the claim to the British throne is through the mother, and the mother is excluded because of a dis alloed marriage (in this case to a catholic) then the children would automatically loose their rights, in fact they would never have had them, since Alexia lost her rights upon her marriage, and they could only claim through their mother.
I would imagine that the children are being raised conscious of both religions, but my guess is that their primary religion would be Greek Orthodox. Given that the mother is a member of the royal family, and has such a high profile, that would make sense. Also, it is possible that the children are being reaised with knowledge of both, and will be able to choose once they are older. There is a precedence for that in recent times with the RF of NL, as well.