Yes, but repressed Catholics share most of the same beliefs as the repressed Baptists, with the biggest exception being alcohol. Hence the hilarity in the hypocrisies. Methodists makes no sense in that joke.

edited to add:
I don't give a shit about the way you heard the joke, I told it the way I've heard it, and it definitely sounds like you haven't run into the Methodists that I have. Fucking carpet baggers.