Indeed, all while Prussia, Oldenburg, Mecklenburg-Schwerin, Saxe-Coburg and Gotha, Saxe-Weimar-Eisenach, Hannover, Waldeck-Pyrmont, Schaumburg-Lippe, Lippe shared National Socialist sympathies...very strange...perhaps the source of what would be a nice case study although I can assure everyeone here that the families would ot cooperate. 
Arturo Beéche
Actually not all the Prussians were supporters of the Nazis. Auwi was a committed Nazi, but the same cannot be said for other family members. His nephew Louis Ferdinand loathed Hitler and the party, and was involved with the July 20, 1944 plot.
There is also no evidence that Ernst August of Hannover was a committed Nazi -nor his children although several of the children had to joined the young nazi party.
For many - let's make that millions - Germans, Hitler was the answer to their problems. But not all Germans, royal or non=royal supported Hitler.
Hitler and his cronies used the royals for their own means - but by the early 1940s, Hitler no longer had use for the royals and dumped many from their posts.
As for the religious issue - there are far less Catholic royals in Germany - Bavaria, Saxony, as the main ones - so statistically, there would be more from the Protestants. This is not to say that all the Bavarians were against Hitler. Rupprecht certainly was - but other family members had differing views.