That's a good counter-argument, but the linked post doesn't actually measure religion-happiness correlation within those other countries (which is the relevant factor), and it's very plausible that European monopolistic religions are far less effective than American freely competing religions for creating happiness.
The Snoep paper Will linked to measured the correlation for the US, Denmark and the Netherlands (and found no significant correlation in the latter two).
The monopolist religion point is of course a good one. It would be interesting to see what the correlation looked like in relatively secular, yet non-monopolistic countries. (Not really sure what countries would qualify though.)
I declare this Open Thread open for discussion of Less Wrong topics that have not appeared in recent posts.