This is not possible to answer. The West is the largest North American region, and it includes many different places. In addition, what we can regard as the "frontier" was very different in the seventeenth century until the word was formally retired from active use to describe the US in 1890. The West tended to be one of the most international of regions, so all major religions were represented at one time or another. Unfortunately, the federal census did not record religion, so exact numbers are not possible to attain, but even if the numbers of adherents were available for every place in every decade, I would caution against generalization. The dominant religion in Albuquerque would be different from that of Salt Lake City, which would be different from, etc.