"In which religion have you been baptised." should be the accepted translation here, or "Which religion have you been baptised in". Baptism is a ceremony, an occasion which has taken place, and therefore one has been baptised. Think of a similar sentence: "Where were you born" - "Where are you born".
Because of my particular background, that is having a PhD in theology, I feel compelled to add to what is perhaps already an overly long discussion. Please feel free to ignore me! It is quite true that this is not idiomatic (in my view). And to me the more basic issue is that baptism itself is a specifically Christian ceremony. So, asking which religion someone has been baptised in is rather a non-sequetor, like asking how Buddhists celebrate Christmas. On the other hand, it is a perfectly normal question to ask which denomination someone has been baptised in. Perhaps this is what the author intended. Thanks all.
The Danish "du" means "you" in English, but it is also very commonly used to mean "one".
The answer need not necessarily be "Christianity". The Christian origin of Baptism has its roots in the Jewish Mikvah. It is also practiced by the Sikhs and also in Mandaeanism. https://owlcation.com/humanities/Which-Religions-Practice-Baptism-Which-Do-Not