Caesar Rodney was an Episcopalian.
He was identified as an Episcopalian by the A History of Delaware Through its Governors 1776-1984 by Roger A. Martin. (Source: Ian Dorion, "Table of the Religious Affiliations of American Founders.")
The maternal grandfather of Declaration of Independence signer Caesar Rodney was an esteemed clergyman. From: B. J. Lossing, Signers of the Declaration of Independence, George F. Cooledge & Brother: New York (1848) [reprinted in Lives of the Signers of the Declaration of Independence, WallBuilder Press: Aledo, Texas (1995)], pages 133-134:
Caesar Rodney was born at Dover, in the Province of Delaware, in the year 1730. He was descended from English ancestry. His grandfather came from England soon after William Penn commenced the settlement of Pennsylvania. After remaining a short time in Philadelphia, and forming acquaintances with some of its most esteemed citizens, he went into the county of Kent, on the Delaware, and settled down upon a planatation... He had several sons, but lost them all, except his youngest, Caesar, the father of [the same-named Declaration of Independence signer Caesar Rodney]. Unambitious of public honors, and preferring the quiet of domestic life to the bustle and turmoil of the political field, he declined all offices that were tendered to him; and in the midst of agricultural pursuits he enriched his mind by study, and prepared his children for the duties of life. He married the daughter of an esteemed clergyman, and, Caesar being the first born, received their special attention in the matter of education of mind and heart.
From: Robert G. Ferris (editor), Signers of the Declaration: Historic Places Commemorating the Signing of the Declaration of Independence, published by the United States Department of the Interior, National Park Service: Washington, D.C. (revised edition 1975), page 121:
In 1783, though a dying man, he entered the State senate and accepted the speakership, but passed away the next year at the age of 55. Interred originally at Byfield Plantation, his remains are now buried in the yard of Christ Episcopal Church in Dover.