Ted Olsen asks that question:

Unanswered: What was “his own religion”? USA Today says that at least one point, he (like many South Koreans) was a Presbyterian: “Pastor Cha Young Ho of the Korean Presbyterian Church said that the family once belonged to his church and that Cho was a quiet boy.”

McClatchy reporters talked with Young-Hwan Kim, president of the school’s Korean Campus Crusade for Christ chapter. “No one knew him,” Kim said. “We had no contact throughout four years. It’s amazing. We could not reach out to him.” It wasn’t for lack of trying, Kim said. Members of Korean Campus Crusade repeatedly invited him to meetings, he said, but Cho wouldn’t even provide personal contact information.

Given the references to Jesus and Christianity in the material he sent to NBC News, maybe he fell away from Christianity or perverted it something else. That may explain the strange reference to Ishmael that was written on his arm in red pen, “Ismail Ax.” (Other explanations here.) I was thinking that maybe it was a reference to being sent away by Abraham. If he was raised in a Christian home, he would be familiar with the story and may have identified with the rejection of Abraham and God (Genesis 17, 22).
Update: I don’t want to confuse anyone here, I’m certainly not saying that he was a Christian. I’m just saying that he may have been around it and perverted it and that’s why we see all these references to Christian terms.