Actually, I will admit that I have wondered about that. Some people have said that he "rediscovered" Judaism (his family was your basically secular Jewish left-wing family) and that he wore a prayer shawl and tefillim.
However, he appeared to know next to no Hebrew - granted, modern spoken Hebrew is not like Biblical Hebrew - but did know some Arabic, although his pronunciation was African, since he had learned it during his stay in Africa.
When he was arrested, he had in his possession a Koran and some anti-Semitic literature, although it may have been in Persian and it's possible that he didn't know what it was.
In one picture, which I believe was taken not long before he died, based on his clothing, he was wearing a chain with something on in that looked like a very small padlock. It also looked to me a lot like the little Koran charms that some Muslims wear (it's a tiny box-like thing with a verse from the Koran inside). It was not decorated or elaborate, however, so it may actually have been just a little padlock that he put on to hold the chain together, but it certainly arouses questions.