I think that adding a new religion is impossible, that is why in PMTW I have used one of the existing ones to have protestants there.

It is generally a matter or renaming one of the presnt in the MTW already - I have used orthodox ( and renamed pagan to orthodox later).

All you need is to check all the files in Loc/Eng for for example orthodox and change all the messages, names used by it, but not the first lolumn ( the hardcoded name) only its 'translation' for the game. In addition you need to change the old religion's icon to a new protestant looking now.

Later you will have to changethe relgion of the faction you want into orthodox, its behaviour to an orthodox one ( like ORTHODOX_EXPANSIONIST), exactly like its culture, provinces of the country, the right relgious agents and AI unit production preferences, rebellions and other stuff in both crusaders.

I am using the approach, but it requires proper concentration not to make mistakes.

Regards Cegorach