Elgin Cathedral was/is a ruin. A Roman Catholic Cathedral. Nathaniel Grant sounds like he was an officer in the army to be buried in the Cathedral.
Yes, you are perfectly correct.
Elgin Cathedral was originally a Roman Catholic cathedral, like all the ancient cathedrals in Scotland (St Magnus, Dornoch, St Machar, Dunkeld, Dunblane, St Andrews, Brechin, St Giles, St Mungo and St Moluag - see
https://en.wikipedia.org/wiki/List_of_cathedrals_in_Scotland) which have been protestant places of worship since the 17th century. It was built in the 13th century, 300+ years before the Reformation. The last RC service held there was in 1594, and the building has been in ruins since the 18th century.
However its graveyard remained in use as the only burial ground in the town of Elgin until the 19th century. Everyone who was buried in Elgin in 1820 would have been buried there, regardless of their rank or religious affiliation.
So not only can you make no assumptions about the religion of people buried there, you can make no assumptions about their standing in society.
The existence of a gravestone would suggest that the person commemorated on it was wealthy enough, or had wealthy enough relatives, to afford the cost of a stone. The information in the link provided by
mgscott above refers to the listing in the Elgin Parish Register, and it does not suggest that there is a stone.
Scotland's People does have this burial in its pre-1855 deaths index, but spells his given name Nathanael, so if you were looking for Nathaniel you would not have found it.