Queen Sofia of Spain, the daughter of former King Paul of Greece and sister of Ex-King Constantine II, was an Orthodox Christian prior to her marriage in the Roman Catholic Cathedral in Athens, Greece, in 1962, to Prince Juan Carlos, who later became King of Spain; Princess Sophia of Greece converted to Roman Catholicism for her marriage.
Prince Phillip, Duke of Edinburgh, former Prince of Greece, consort of Great Britain's Queen Elizabeth II, converted from Eastern Orthodoxy to Anglicanism prior to his marriage.
To be fair, the formation of the Greek monarchy and its ostensible conversion to Orthodoxy was purely political in the first place. For all we know, the "Orthodox," "Catholic," or "Anglican" members of that royal house were privately Lutherans all along. (Or Satanists, if you'd rather.)
Hardly. The matriarch, Queen Olga Constantinovna, came from the Russian Imperial family, and was married partly because she was Orthodox. King George remained Lutheran, but their son Constantine I was raised in his mother's faith. On the birth of his heir, Queen Sophia Hohenzollern, over the objections of her brother Kaiser Wilhelm I and the entreaties of his pious Lutheran wife the Empress, sought to be catechized by Queen Olga (but at the insistence of the King George of the Hellenes, was instructed by Met. Germonos of Athens and primate of Greece instead) and received into the Church-for which her brother barred him from her homeland in Germany. The heir married the Orthodox Princess Elizabeth of Romania, and when they were deposed, the next son came with his Greek commoner Orthodox wife (whom he married over objections to her status). Then came the grand-niece of Queen Sophia, Frederica, who followed her example.