What was practiced in Nazi Germany is known as racial antisemitism, stemming from a belief that the Jewish race (among others) tainted the Aryan race, with Judaism itself being a lesser factor. In the 1935 Nuremberg Laws, it was established that regardless of whether or not you affiliated yourself with Judaism, you were still a Jew if you had Jewish heritage. So if you had been born an ethnic Jew, there was nothing you could do to escape that fact and avoid being sent to concentration camps.

Sources, and more reading on the subject:

http://en.wikipedia.org/wiki/Racial_policy_of_Nazi_Germany

http://en.wikipedia.org/wiki/Racial_antisemitism

http://www.ushmm.org/outreach/en/article.php?ModuleId=10007695

(forgive my ignorance)

Don't apologize for not knowing the answer to something that you are actively trying to find

Some in Italy did. A number of Jews suddenly became quite Catholic and were either sheltered in various Catholic churches, monasteries, seminaries, convents, and schools. Some of these conversions were genuine, but most were conversions of convenience used for the purpose of sheltering people from being deported.

There is a bit of controversy surrounding the practice, as there are allegations of forced conversions. There are few accounts of this, and the practice of forced conversions was publicly condemned by the Vatican at this time. To me, the evidence points more to the idea of convincing refugees to say they were Catholic to make the process of saving them easier. "Hey, you're Catholic now, right? Remember, you're really, really Catholic." Both interpretations are reasonable, though.

For information on the Holocaust in Italy (particularly Rome), there are two books on the subject.

Susan Zuccotti, Under His Very Windows is an account of the efforts that is very critical of Pius XII's role.

Gordon Thomas, The Pope's Jews is a much more favorable account of Pius XII's actions.

And on the subject of ignorance, in my opinion that is why we are all here. Admitting you don't know something and having the courage to ask takes some real guts. There is no shame in asking questions.

Just as a minor note if you're from the USA, but here in Europe even today, Christians don't tend to circumcise their males, Jews and Muslims do. Hence at the time, the Nazi officer could just physically examine you.

*(I've seen a few questions here, from I presume Americans, which seem to presume all males in Europe regardless of ethnic origin are circumcises)

The USC Shoah Foundation records that there was, in Belgium, a rather efficient underground organisation that provided Jewish children with false identities and put them in guardianship of orphanages and catholic convents during the entire duration of the war. Even the parents didn't know their own children's alternate identity names, so there wouldn't be any way of finding out who was a Jewish kid and who wasn't from picking up info after, say, a raid.

One of the Shoah Foundation's big sponsors was Severin Wunderman, whose brother, Max Wunderman, gives an interview, which you can see here. He discusses what it was like growing up in one of those orphanages, saying over 70 percent of the kids there were Jewish.