Captain Steel is a transparent Captain Marvel and Superman analogue, although he probably has more in common with Superman.
Captain Steel was born and raised in Boise, Idaho, a city founded and settled by Latter-day Saints (also known as Mormons). Today the Church of Jesus Christ of Latter-day Saints remains the predominant religion in Boise. This and many other clues indicate that Captain Steel is a Latter-day Saint, although probably not an active churchgoer.
Captain Steel's language is disarmingly innocent. He avoids all real profanity and vulgarity, even though many of other characters use "swear words" regularly. In this way Captain Steel's language mirrors that of the classic Captain Marvel comic book hero, and also the language of Latter-day Saints, particularly rural Idaho Latter-day Saints (similar to the language and euphemestic curse words heard in the movie Napoleon Dynamite, which was made by Latter-day Saints from Idaho).
A major theme of the Ultra miniseries is Ultra's decision to start dating again, and it is clear that much of her reservations stem from her problematic past relationship with Captain Steel. Captain Steel and Ultra clearly remain fond of each other, but it appears they were very incompatible for a number of reasons, one of which apparently had to do with different attitudes toward sexuality. Captain Steel is extremely reserved and naive in this arena. At one point Ultra throws a vibrator out her window, only to hit Captain Steel with it as he is flying to her window to visit her. Capain Steel has absolutely no idea what the device is. He believes her when she tells him it is an electric toothbrush.
When Captain Steel and Ultra dated, their relationship provided constant fodder for tabloid news outlets and rumor mills. This is because Captain Steel is so famous and popular, his Earth's version of Superman. Captain Steel and Ultra both had strong reputations as morally upstanding, "squeaky-clean", God-fearing super-heroes. They were good role models. It appears that just as Captain Steel was raised in a devout Latter-day Saint home, Ultra was raised in a strong Catholic home. Probably based on their past reputations and known religious affiliation or conservative religious upringings, the media gravitated to a not entirely accurate picture of the couple. The press painted a portrait of Captain Steel and Ultra as the ultimate chaste, morally upstanding couple. Churches, youth groups and pro-abstinence organizations even pointed to Captain Steel and Ultra as positive examples, apparently thinking that they were dating chastely, abstaining from sex until marriage or something.
Evidence within the Ultra comics strongly suggests, however, that Captain Steel and Ultra slept together while they were dating (although perhaps awkwardly). Ultra and Captain Steel both appear to have strong, conservative moral ethics, yet they appear to be non-churchgoers who have drifted from observing the teachings of their churches about abstinence outside of marriage.
Captain Steel is never overtly identified as a Latter-day Saint in the Ultra comics. This is the most logical identification for the character based on the fact that he is from the predominantly Mormon city of Boise in Idaho, he uses Mormon-like language and vocabulary, because the media presumed he and Ultra had a chaste dating relationship, and because his innocence and naivete in sexuality reflect a Mormon background, although he appears to not be living up to all the strictures of his Church.
...Newsweek reported this week that Superman is Methodist... You, too, can find the affiliation of your favorite Super Hero at [link to Adherents.com website]...
Ironically Hellboy is a devout Roman Catholic. Electra [sic] is Greek Orthodox. Captain Steel is Mormon...