The KKK organizations hold themselves to be Protestant Christian organizations. From the early 1900s through the 1940s, hundreds of thousands of White Anglo-Saxon Protestants (WASPs), primarily in the South saw the KKK as a part of their faith. Millions more viewed the KKK's tactics as morally reprehensible and extreme, but nonetheless saw its members as valid Christians and generally agreed that WASPs were inherently superior to other groups.
http://en.wikipedia.org/wiki/Ku_Klux_Klan#Doctrine