A Christo-Pagan symbol called "Pentacrossagram". Which is a Christian Cross within or mounted on a Pagan Pentagram. (Photo credit: Wikipedia)
The question about what religion King Arthur followed depends on which King Arthur we're referring to? King Arthur of the Medieval Romances is most definitely Christian as is the one of the Historia Britonnum.; the mythical one appears to have been a Christian and a possible historic one of the Late-5th century would most likely be a Christian.
In Culhwch ac Olwen, (possibly 11th century) where Arthur has many 'pagan' friends, such as Gwyn ap Nudd (of the Otherworld) and the god Mabon, he or Cai mention "Heaven" at least three times. Whether these mentions were part of the original story or were added later we may never know, but, if they did want to make Arthur like the one of the Historia Britonnum (H.B.) of the Early-9th century, they did very little to do so. Had they wanted to change him to a Christian hero against the Otherworld they could have gone much further. Of course, it is thought there were many more Arthurian tales around in the 9th to 11th centuries and some of these could have made more of his Christianity.