Two questions.
(1)How would you respond to this?
I guess it depends on what country you’re in, what region and what religion. I have little experience with the South where Baptists seem to be the norm, or how Catholics are in NE America or in the PNW. My experience has been primarily in the Midwest. The Catholics I know aren’t miserable, at least to me, and just go about their day. If they do complain it’s not something that I would label them miserable - if I didn’t know that they were Catholics, let alone know who they were, and met them in a supply shop I wouldn’t think anything of it.
(2) In your experience, do those believe in God seem to be more miserable than non-believers?