How Do I Beg Off Protestant Activities?

You don’t have to give your sister-in-law a reason for not going to these events; instead, you can say something short and sweet such as, “Thank you so much for inviting me, but I think I’ll pass.” Keep your response warm and friendly, and leave it at that. If she presses you for a reason, you can politely give her your reasons for not going (e.g., there are Catholic Bible studies and retreats you can attend), or just repeat your original response and then change the subject.

Don’t feel guilty for being honest. Your sister-in-law might be disappointed to hear you aren’t interested in attending these events, but a warm smile and a kind word will soften her heart.

Further reading here.