What lie does Catherine believe about daisy?

While gossiping with Nick about Gatsby, Catherine tells Nick about Tom's relationship with Myrtle. She tells Nick that Tom actually wants to leave his wife, but that he cannot because of her religion. According to Catherine she is Catholic.

Nick knows that his cousin isn't really Catholic, but thinks he shouldn't bring it up. Their conversation is interrupted when Nick begins explaining how she is too good for her husband, George, and what is it that attracted her to Tom.