It's an interesting idea, but as hobnob says, I don't think you can really assume that Mr Earnshaw had an affair with a gyspy woman - there's nothing in the novel that really suggests that. I've never thought of Wuthering Heights as being a particularly religious novel either - I've just re-read Jane Eyre, and obviously religion is all over the place with Helen Burns, St John, all the Biblical references etc etc, and I think it's interesting how non-religious Wuthering Heights is in comparison. Wuthering Heights is more about the supernatural...
The failure of Heathcliff and Cathy's relationship probably has less to do with breaking rules than the fact that they're both slightly insane. Well, "slightly" is an understatement in Heathcliff's case. But look at Cathy's marriage to Edgar - she's not being forced into it. It's not as though she's reluctantly conforming to the rules of society by agreeing to marry him. Heathcliff is an option, but she doesn't choose him, and of course it all goes downhill from there. Because Heathcliff and Cathy are such extreme characters it's tempting to blame the failure of their relationship on the fact that they're going against society or something like that, but ultimately, I think they're self-destructive.