Rome pulled out of England and The Netherlands in 410 AD.
That means that when I look at the religious demographics of Western Europe, for the most part the regions that stayed Catholic following the Reformation correlates to the Western Roman Empire at the time of the Third and Fourth Ecumenical Councils. The Western Mediterranean, Austria and Southern Germany.
Now you might feel that's awfully arbitrary, after all the major Protestant Denominations especially the Anglican Church do not reject those councils, so why choose this time period's Roman borders?
It's less about those councils per se and more the influence of Augustine of Hippo and Pope Leo I. Augustine was active before then but his arguably single most important work, City of God, was written soon after 410. Leo can be argued to be the first Bishop of Rome who was a "Pope" in the sense of how we think of that today.
There are some notable counter examples to this thesis.
First of all Switzerland has a significant Protestant presence as perhaps the only European Nation where the population seems pretty evenly divided between Protestant and Catholic. Given the geographical nature of Switzerland it may be possible to argue Rome never fully subjected it regardless of it being all technically claimed by Rome. But this is also largely the product of this country being a place that usually welcomes refugees (though some in the country sadly tainted this reputation during the most pivotal refugee crisis of the 20th Century).
For the other type of exception I'm not interested in the places outside Europe where the Catholics have a foothold because of Colonialism and/or Jesuit Missionaries. Instead I'm interested in Ireland and Poland.
In the English speaking world I imagine it wouldn't surprise people too much to see me suggest a theory that the Irish stayed Catholic mainly out of rebellion against the British. What might not be quite so well known is how Poland and the part of Germany that would come to be known as Prussia had a similar relationship. Which actually factors into why Poland was where WW2 started (the European theater anyway).
All this is interesting, but there is a certain kind of Christian Racist who likes to suggest some Biological Determinism regarding who became Protestant and who didn't. And in the English Speaking world that often ties into British Israelism or Christian Identity. I remember a long time ago reading a website that very specifically said the Lost Tribes were those parts of Europe who embraced the Reformation. I don't recall the full details of the argument they made, but I suspect they may have tried to get around how complicated things were in France by suggesting the Huguenots were the true descendants of the Franks and Normans while the Catholic French are the Romanized Celts.
In terms of my looking into where various Y Chromosomal Haplogroups are dominant, Wales and Brittany are more genetically like each other then either is to England or France, same with Ireland and Scotland.
British Israelism in general is a Protestant phenomenon, for all the things I feel the Catholics are wrong on at least they generally understand that The Gospel isn't ethnocentric. There were some Catholic believers in Franco-Israelism at one point, but in origin that was more of a Huguenot thing.
The reason the Reformation wound up being so geographical is because it happened while Europe was still under Feudalism. The average peasant didn't care about any of these nuanced theological debates and just went to whatever Church was near by. So most regions just wound up following what their King, Duke, Prince or whatever chose to follow. And generally speaking the further away from Rome one was, the less concerned they were with having good relations with Rome, and perhaps sometimes resented the Popes wielding so much soft power over them.
The fact is it wasn't just in England under Henry VIII that the Reformation was Top Down rather then populist. Luther avoided the same fate as Jan Hus because he made friends with most of Northern Germany's Feudal Lords and then Gustav in Sweden, Christian III of Denmark and William the Silent's father followed suit. Then when a bunch of Peasants started taking this opportunity to bring back some of that Communist stuff Jesus talked about, Luther immediately sided with his new Aristocratic friends and a bloody war of suppression was waged.
And it was the same with the Calvinist Reformation, Zwingli took over Zurich and Calvin took over Geneva and then basically ruled them as Demagogues. And the foothold Protestants temporarily had in France was due to support from the Bourbons and some important Queens.
Update April 2021: I've learned that Luxemburg which is Catholic is also among what Rome had pulled out of by 410, so that's a further hole in this premise.