Grania, Melania is Slovenian and Roman Catholicism is the most common religion there. That she speaks Serbian (or Serbo-Croatian) is not surprising. That language was the official language in Yugoslavia, and although in the same Slavic family of languages, is quite different from Serbian (or Serbo-Croatian). I agree with you that it should be no surprise that she also speaks Italian.
Looking at her in that Vatican environment and observing her traditional and reverent ways, I'd be surprised if she weren't brought up with traditions of religion and culture.