Heidi Klum was born and grew up in Bergisch Gladbach, Germany. In 2008, she became an American citizen while maintaining her native German citizenship.
She has not spoken about her religious views or the views of her family. I would submit that she's probably not very religious.
Based on conjecture, my best guess for Klum is Catholic. Bergisch Gladbach, Germany is a city in the German state of North Rhine-Westphalia where 42.24% of the population (the religious majority) adheres to the Roman Catholic Church.
Despite being a native German, Klum's dual-citizenship has given her a stake in what goes on in the U.S.
In fact, Heidi Klum applied for her U.S. citizenship ahead of the 2008 presidential election just so that she could vote for Barack Obama.
When she was asked to talk about Obama's presidency so far, Klum acknowledged that it hasn't been easy:
I mean you can't lay it all on one person to make things happen…
About her decision to vote Obama, the supermodel said:
I've been here since '94. I've been paying quite a few taxes in this city — in this country. And I felt that it would be right for me to, you know, vote for the next president. And I really, I don't know, I liked him and I wanted him to win over the other person.
So it appears, when Klum is wearing her American hat, she's a Democrat.