Gandolfini was probably a lapsed Catholic, assuming he ever was anything at all. They tend to Baptize their children in infancy. He was a supporter of many causes in his lifetime, including Catholic ones. But there is no real evidence that he was a member of any religious tradition. His bio talks about his Italian Catholic parents and how they were devout. His dad worked at a Catholic school for many years. But any information as to James' beliefs or practice in any religion are absent.
In the extensive coverage of the late actor's death and funeral, there did not seem to be any mention of any actual connection to the Cathedral of St. John the Divine. A fistful of money tends to be the only connection needed. Take that however you wish.
Bio, news stories.