[DiogenesKynikos]

> But then again, people born in Roman Empire got Roman citizenship on Birth

That depends on when you're talking about. Until Caracalla made all free subjects citizens in 212 AD (supposedly so that he could tax them more heavily),[1] Roman citizenship was restricted and highly coveted.

> There were other Pagan religions at the time and in middle east Jews didn't accept Roman state religion.

From the late 300s onwards, pagans were persecuted in the Roman Empire. Nicene Christianity was the state religion. Also, Jews lived throughout the empire, not just in the Middle East. From about the 1st century AD onwards, there were more Jews living outside of the land of Israel than within it.

1. https://en.wikipedia.org/wiki/Constitutio_Antoniniana