From what I've read, the Foley family is Catholic. Apparently, James prayed the rosary during his captivity in Libya a few years ago because his mother had a strong faith, and he wanted to let her know that he was okay. Here's the link to an excerpt from a letter he wrote that explains his thoughts on the matter: http://www.patheos.com/blogs/deaconsbench/2014/08/james-wright-foley-catholic-w
As the head of the Catholic church, Pope Francis offered his condolences to James' parents during a phone conversation he had with them yesterday (Thursday, August 21st).
Apparently, many friends of the Foleys have been praying for James throughout his recent captivity, which began in 2012 (details in the following article: http://religion.blogs.cnn.com/2014/08/20/james-foleys-prayers-and-the-dark-side
). It's too bad that the media didn't broadcast what was going on until it was too late (at least, I haven't heard anything on the news), as I'm sure that many born-again Christians throughout the world would have been praying for him, too. It might have made a big difference in the outcome.