Have you actively tried to befriend anyone? People cant read minds (I hope) so we have to bring our part too and let them know we want to hang out. And sure, hanging out with Protestants could be weird, but does weird automatically equal bad? You wont know you hate it until you try it. Maybe look into group activities designed for foreigners, my friend is Bahrain and she has found a nice little community of foreigners to do things with over weekends, hope you find something like that.