I don't know that it matters much that there aren't any Protestants on the Supreme Court. After all, what type of Protestant would you want? There's a lot of difference between an Episcopalian and a Southern Baptist. And we a society without an established religion.
More troubling to me is the lack of educational diversity. "all eight remaining current justices had attended either Harvard or Yale Law Schools (Justice Ginsberg graduated from Columbia Law School after transferring from Harvard before her third year)" according to the Harvard Law Record. Nominee Kagan was, of course, dean of the Harvard Law School.
These are likely the best law schools in the U.S., but they aren't the only ones and they reflect a certain ivy-ness of training.