I’ve seen this hypothesis before, although not in college & graduate school when I was earning a B.A. in English literature & then a master’s degree in secondary education in English. It wouldn’t surprise me one bit if the possibility of Shakespeare’s Catholicism has been ignored by scholars only because many of them are anti-religious generally and especially anti-Catholic. However, my educated guess is that there is simply lack of evidence. Literary scholarship isn’t exactly an exact science, & I can assure you that it’s possible to read almost anything into Shakepseare - and it’s been done over & over again! Historical or biological research is a different matter, but again, the problem arises: there simply isn’t much known about the man himself. It’s an interesting theory, but I’m disinclined to believe it.