I think this is a case of interpretation, or a headcanon becoming so popular it's practically canon.

I forget if there was anything specific in the show which makes people lean towards interpreting him as Jewish. There's probably something.

In the comics it's never really stated but you might like to check out the analysis at this webpage that shows evidence of him being Episcopalian (although how religious he is we can't say);
http://www.adherents.com/lit/comics/Foggy_Nelson.html

This website is great in general, they've got sourced information about the religion for HEAPS of comic characters.