Here is where the Census Bureau has assembled a multitude of data points concerning the electorates of each state holding primaries or caucuses. Religious affiliation of the voters can be found at Pew Religious Landscape Study. (The Census Bureau does not ask questions about religion.) Party affiliations (Democrat or Republican) along with ideological makeup of voters can be found here.
Socioeconomic and Demographic Profiles of ALL States’ Voters in the Primaries and Caucuses