Why is this person this religion?

A family member of mine is Lutheran Christian. His side of the family is also Lutheran as far back as he can trace and he asked me a good question...where did this family tradition come from? He has red hair and is Norwegian, Danish, Swedish, Irish, Scottish, and maybe a little Finnish. Arent people from these areas very religious with Catholicism and Episcopal? (Correct me if Im wrong, were just wondering the answer to this question)