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The original joke is about Baptists and Methodists. Catholics drink like fish, so the joke really doesn't work with Catholics in it.



Hence the Catholics say hello to their fellow parishioners, whilst the Baptist duck and hide their faces in shame, but go to the liquor store none the less.



Yes, but there is nothing surprising about seeing Catholics in a liquor store. Neither Methodists nor Baptists are supposed to be found in liquor stores. The idea behind the joke is that even though they are both protestant, Methodists are much cooler and tolerant about alcohol than the uptight and repressed Baptists.
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"Offer them what they secretly want and they of course immediately become panic-stricken."