I would say pretty much all Protestant denominations were OK, although I believe there were (and still might be?) some sororities geared to Lutheran women. (Where the Episcopalians fit in all this, I'm not sure.
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If you've ever read "And Ladies of the Club" it really blows your mind with how much emphasis people put on what denomination you belonged to back in the 1800's & early 1900's. I thought of giving it to my Catholic friend who when I asked her what denom her bf was ("He's Protestant." "Yes, but what denomination?" "Protestant .") but I didn't want to freak her out.
I'm guessing that whatever religion was predominant in the area the sorority was founded in (South, Midwest, North etc) probably was a factor in the makeup of the early chapters.