Depends on your country's values. If your country has the same values as your religion, just like America has judeo-christian values. Then i can't see how you could be loyal to one but not the other. However, i'm from Sweden and i'm more loyal to my christian faith than to my country.
Well to be fair the Roman Empire commited genocide on Christians many years ago, Yet where is the Roman Empire now? And lets also check on the status of where christians are today....Hmmm. Interesting.