The first iteration of the Klan and the second iteration of the Klan are two different things. The requirement came in 1915 because that's when the Southerners went up on Stone Mountain and restarted it. It was clearly Christian, which is why they used Christian imagery. The first Klan was to prevent Reconstruction which worked for them. 1915 the Southerners were scared of Catholics, Jews, and every non-Protestant group and were inspired by Birth of a Nation. Thats why it was centered around cities where black, Catholic, and Jewish migration took place. It was very much a Protestant group.