Which religion was Jung?
Throughout the course of Jung's long life, he struggled greatly with his Christian roots and psychic heritage. Jung was the only surviving son born to a Swiss Reformed Evangelical clergyman. Further, eight of his uncles were ministers. It's obvious that the young Carl Jung must have spent a large portion of his early life, surrounded by these very religious clerics. However, despite Jung's struggles with what he considered to be the dead faith of his father - at the end of his life, Jung came full circle in his personal struggles and remained a Christian (albeit, he will never be accused of "orthodoxy" in his beliefs).
Yes, as mentioned earlier, Jung was sympathetic to and interested exploring all the many other religious faiths across the world, and throughout antiquity. Jung's interest was in order to gain a better understanding of the working of the human psyche.
I'll take all this a step further and add that as a general rule Jung would not have recommended anyone converting to a religion or religious stance that was foreign to his/her own Western psychic inheritance and/or heritage.