(Or is it that, when I play as them, I just think it's completely absurd for them to request marriage to a Catholic\Orthodox princess?)
For the record, it happened often. Ottoman Sultans married Byzantine noblewomen to gain kudos points. Specially since after the fall of Constantinople they styled themselves "Roman Emperors". A hundred years later, Suleiman II (?), married a greek slave he had and made her his çueen, and in-between wars he wrote her poems (an odd man)

In Spain the situation was simmilar, with the added link that there were relations already between noble families in each side of the "religious frontier". Almanzor married a princess from Navarre, during the Ummayad caliphate. Afterwards there was also a lot of marriages, alliances (and treacheries) between the spanish muslim kingdoms and the christian ones. To bring up two examples: Rodrigo Díaz, aka, el Cid, was a vassal of the king of Castile, but technically the ruler of Valencia, which was mostly muslim, and kept its laws. Thus, there was a christian ruler of an Islamic principate.

The second example is Boabdil, ruler of the last muslim Kingdom in Spain. His family was originally from the North, Zaragoza. And after the fall of his kingdom he remained in Spain as a noble with titles and lands for some time, until interreligious tension made things troublesome for muslims and he sold everything and left for Morocco before everything hit the fan.

For the record, when I play muslim factions I princess-snatch often if I can help it. To help the odds, I usually target princesses bordering retiring age (3x), which makes the AI more willing.
I think that in general the AI will marry princesses more willingly when the target is of the same religion, but I´m not l00% sure in this.
As a çuirk: In a Viking campaign, the Welsh "bought" my help against the saxon and mercian invaders by marrying off their princess to my altogether-very-pagan heir. (I was moved and immediatedly plundered several Northumbian monasteries to demonstrate it)