There is no indication in the story that they are from different religions. Stella is only introduced at the very end of the story, and nothing is said about her religion. Additionally, nothing is mentioned about her sinning. The only thing we have is the following:
"Like an animal. Like a dog. For her to be poor was a sin. This is why to me she is dead now."
"Why, he asks," Salzman said, bursting into tear. "This is my baby, my Stella, she should burn in hell."
But there is nothing here that indicates that she had actually done anything wrong. In fact, Leo later suspects that Pinye was deliberately talking like that in a sort of reverse psychology to get him to want to date Stella:
Leaving the cafeteria, he was, however, afflicted by a tormenting suspicion that Salzman had planned it all to happen this way.
Lastly, when Pinye was praying for the dead, there is no mention that this is a reference to Stella (though, of course, that may have been the intent):
Around the corner, Salzman, leaning against a wall, chanted prayers for the dead.