I've only watched up to 20 mins at the moment - but slowly wading through it.
He's making a massive deal out of existing knowledge that states that the Christian church and Islam are based on paganism. Most religions have links back to pre-existing ones, that's how converts are made, by persuading them that the 'new' religion is a souped-up version of their old religion. Better things await that can ever be offered by your three-breasted female with a donkey head - or whatever.
Unfortunately, like most people keen to push their own version of religion at the expense of others, he's going overboard looking for links ("seek and ye shall find" springs to mind) and assassinating (assassin - good Arab word..... ) the opposition at every opportunity.
Anyway, back to your original point that the Prophets' first with was a Catholic nun. Unless there's more info later in the video I'll take that statement as it stands now:
Mohammeds first wife - Khadija - was a wealthy widow of the Quairashi who ran her own successful trading business. Mohammed was placed with her by his uncle to learn about the world of business and she gave him the position of agent on one of her camel trains heading North to Mecca, his role was to supervise the sale of Syrian goods in Mecca itself.
He was very good at it and they worked together closely, she then offered him marriage. Mohammed was about 25 and Khadija is reported to be a fair bit older - possibly 40.
Hardly a Catholic nun. Also, there are (as far as I can see) no references to Khadija being part of a Christian or Jewish tribe at all. In fact her father, Khuwailid, was the great-great grandson of Qusai - of keeper at the then pagan temple of Mecca. Pagan idol worshippers as opposed to Catholic or Jewish, that is quite specific. So, if anything, Khadija would be pagan.