This is the absolute best confirmation that I have seen so far, proving that Prince is a JW for sure. I found this on the ViewAskew website (news site for Kevin Smith, writer and director of Clerks, Dogma, and Jay and Silent Bob Strike Back).
"Fielding numerous 'are you high on the set' queries with patience and charm, he used the questions as a jumping off point for many personal anecdotes. One of the highlights being a forty-minute tale on being invited to Prince's Paisley Park to talk about filming something for Prince, and ending up staying there a week filming a documentary about 'The Truth' about Jehovah, that 'will never see the light of day.'"
See: newsaskew.com November 01 archive