Hessen, Oldenburg, Sachsen-Weimar-Eisenach, Hannover, Schaumburg-Lippe, Waldeck, Anhalt, Lippe - definitely lutheranian
Württemberg changed back to catholic church 3-4 generations ago !
The former kingdom of saxony ( not to mix up with the many (grand-)dukedoms) - catholic church
Baden - many in southwest Germany are catholic, but they have married many women from protestant houses and have good relationships and contacts to them - so I guess they are protestant
Reuß - probably protestant
Schwarzburg - their heads daughter married in a catholic ceremony - so maybe they are catholic.