So are the Dwarves Catholic? that would have a fun impact on Medieval theology as would the appearance of clearly superior elves.
The Dwarves worship God in their own way, most aren't Catholic, but the Emperor tolerates this. The Empire is very loosely organized, it is more of an alliance of mutual protection.
This is the coat of Arms for the Empire and the Emperor
The Biblical God is the most powerful being that is worshipped. The Dwarves that do not Worship God worship the Norse deities that are left over from the Dark Ages. The Holy Roman Emperor at this Time is Henry IV, he is also the King of Burgundy, King of Italy, and King of Germany. Most of the dwarves speak German in addition to dwarvish, the nobles also speak Latin, as Latin is the "official language" of the Holy Roman Empire. Most of the inhabitants don't speak it or understand it, those with a formal education also know Latin, but most inhabitants conduct their local business in German, or Italian.
There is no reason why elves couldn't worship God in their own way, they tend to worship the same God in the same fashion that human druids do, it is more of a nature deity, as elves are close to nature. Elves do have cities in North America, I haven't mapped them yet, as I'm just getting started, one of those cities is located on Manhattan Island, it is a sea port where elvish ships are built, there is also an elf city on the site of Boston, there is another one at the mouth of the Mississippi river, and their are elvish ports on the west coast as well, the elves like the northwest better than the Southwest desert. One thing the elves don't have is horses, until they encounter Europeans riding them. the elves did very little animal husbandry, mostly they grow crops and supplement their diet with wild animals they catch in the forest, and they are very keen on forest management, so their numbers are few compared to what the land could support, they are also very long lived, so elf children are rarely ever seen.