But how do they explain his devotion to Roman Catholicism? He was hard core Catholic. He was so hard core about it, the Spaniards hated his guts. Can you imagine surviving to reach the New World, with all those beautiful naked women waiting for you on the beach, and then ordered to stay onboard to pray? I don't blame the Spaniards for revolting against him (twice).
“A man's face is his autobiography. A woman's face is her work of fiction.” ― Oscar Wilde
Yes, the theory that Columbus was a Byzantine Greek from Chios is an old theory, mostly held by some Greeks, though not exclusively. Columbus definitely stayed in Chios for some time. He did sign his name in Greek and at least some members of his crew were also Greeks. There is a lot of info on the net about it, you can find with a quick google search.
As for Catholocism, many Greeks converted as refugees to the West after the fall of Constantinople. El Greco Theotocopoulos and the other New World explorder Juan De Fuca (Iannis Phokas) being two of the most famous examples.