The Wildlings and the Southerners (even the Northmen, especially the Northmen) hate each other. It's not about religion but cultural and social differences; the Wildlings see the "kneebenders" as little better than slaves to Lords who do nothing to get their positions while the Kingdoms see everyone north of the Wall as a bunch of sub-human savages (and the constant raids on the North don't help). There are no political connections between the two sides of the Wall, unless you count raids and Night Watch counter attacks.
The only way to marry a Wildling is if they are in a Westerois (Seven or Old Gods) court. And even then everyone will hate them, -75 relation malus for being a Wildling plus -20 for religious differences and all so they will probably be murdered pretty quickly.