A centurion may have taken a local wife or concubine. In the case of Cornelius, his household may have included a wife and children along with slaves. Keener reports a soldier during the time of Augustus received 225 denarii a year and were responsible for their own clothing weapons and food, a centurion received 3,750 denarii (2:1749). Purchasing a slave may have been difficult for an average soldier, but not impossible for a veteran centurion.
It is possible Cornelius was retired from the army and living in Caesarea. If so, he was Roman citizenship and may have had some status in the community. Since he has a household with multiple servants and can devote himself to almsgiving, he may have been at least moderately wealthy.
But is it possible a Roman soldier would practice any form of Judaism? He was obviously not a proselyte since he remained uncircumcised. As a soldier, pork would have been a major part of his diet (Polybius 2.15.3), although Letter of Aristeas 13 indicates Jewish soldiers were present in Ptolemaic Egypt, presumably such a large force was provided appropriate foods. Keener gives quite a bit of evidence Roman soldiers were very religious as the rise of the Mithras cult indicates (2:1754). Soldiers appear to have been free to worship whatever gods they desired as long as these gods did not interfere with their loyalty to Rome as expressed in the imperial cult.
Could a person worship the God of Israel remain a loyal Roman soldier? It is possible to behave morally and to acts of kindness as a Roman. It is not as though participating in the imperial cult required immorality and cruelty! One could practice some Jewish practices without appearing to be disloyal to the Romans. But from the perspective of a Pharisee such a person was only playing at being a Jew.