Interviews I've seen with the Wayon's indicate that their parents are "in the faith" i.e. JWs.
They had a great story about the parents walking out of their movie "SCARY MOVIE" very early, in disgust (of course, the seemed to please the Wayon's greatly).
They said their mother later said to them about the short part of the movie she stayed to watch: "It was funny, but not Momma's kind of funny."
They themselves did not indicate they were JWs, they only said their parents are dubs.