How can I find out how my maternal side became Baptist?

My mother' dad's side is Italian and Spanish (Spain and Italy). So I ume they started as Catholics, then when they got here I guess they became Baptist. How rare is that? Most Italians and Spaniards would be Catholic right? And my mother's mom's side is mainly Scottish and Argentine, so how did they go to be Methodist to Baptist? How rare is it to find Spanish or Hispanic people who are Baptist? This will sound weird, but could this be an indicator that we might not be Spanish or Italian or am I just over thinking this? My mom has doentation that we are Spanish and Italian, but this makes me wonder.