Rashi 's commentary on this is:
shalom b'SHEM Yah'shua HaMashiach And I will bring the third in fire: And I will bring the third in straits in the smelting-pot
of fire (Jonathan), so that some of the proselytes should bear the birth pang of the
Messiah and the war of Gog and Magog with Israel. From there they shall be tested [as
to] whether [or not] they are true proselytes. Then, many of those who previously
converted to Judaism shall return to their pre-conversion customs and join Gog.
We find [this idea] in the Aggadah (Avodah Zarah 3b; Midrash Psalms 2:5, footnote 29).
and he shall say, “The Lord…”: When he prays, he will pray to the Lord and not to his
previous deity.
See 284