If you listened to the pleadings on the TRO stay -- the law and precedental case law make exclusion of visas based on religion illegal and unconstitutional in the USA. You can do whatever is legal where you are but in the USA we have our laws.
The Establishment Clause of the US Constitution. Executive orders and statutory laws have to be constitutional -- that is the pleading to be adjudicated -- the immediate issue. **
You (EU) have yours
DIRECTIVE 2011/95/EU OF THE EUROPEAN PARLIAMENT
If you don't agree with your laws -- change them -- either way. Otherwise, we are no longer civilized men.