Helene's father refused to let her to convert away from Catholicism, reportedly because Pope Leo threatened to excommunicate them both if he did.
I believe that was in relation to her romance with the Duke of Clarence.
Bit of an insane response really by the Count of Paris, it would have strengthened his position greatly if his daughter was Queen and Empress of the world's greatest Empire.
Marriage plans between Nicholas and Helene never really progressed beyond his parents looking for an alternative to Alix of Hesse, there was never any serious prospect of them marrying as Nicholas was not interested in anyone but Alix. I doubt the Pope was consulted on this one.
Helene is an interesting character, twice she missed out on being a Queen/Empress (UK & India and Russia), she ended up a member of a junior branch of the Italian royal family but she was ambitious and was constantly pushing her husband and sons forward as the main line was not terribly successful with producing male heirs.
Its interesting to wonder where that ambition would have led had Helene ended up as Tsarina of Russia. One has to assume that she would do everything in her power to push her family's position forward in France and the Romanovs were extremely well liked in France, a French Tsarina would have been insanely popular.