Was there a specific religion followed by the knights of the round table in England?
Yes, they were Christians.
But in most versions they are not connected with England as at
least some of the authors of the Arthurian tales knew that Arthur
was supposed to have reigned over Britain before the invading
English conquered a large portion of it and named it England.
Sir Thomas Malory in his Le Morte d'Arthur is unusual in
using the name England a great deal.