You cannot be Muslim or Christian and Jewish at the same time, except for those who were born Jewish and left Judaism. Of course if you convert to Judaism you must abandon your former religion! But even if you don't convert, but just believe conversion exists, you cannot be a Christian or Muslim, or anyother religion. Beliving that there is the possibility of conversion, you already reject anyother religion, for it implies believing that a Kosher conversion gives the convert a Neshama.
I am what I am, a Goy...But the very fact that I have decided not to convert and that I am a goy, means to reject other religions.