Protestants and Catholics were not equivalent to Europeans or white people. The first two are tribal groups—anyone could become Protestant or Catholic. Europeans and white people are born that way--those categories required a new way of imagining humans. As for calling Africans black, when it was first done, it was no more significant than calling someone a blond or a brunet. It took the combination of the Enlightenment and slavery to make people think categories like European and white mattered.

Part of the confusion here may be in that no one is saying "a pan-European identity arose exclusively in the New World." We're saying it arose as a consequence of having to rationalize slavery in the Age of Enlightenment and having to decide what the essential groupings of humanity were in a time when empires spanned continents.