Jesus is a Jew. His parents, his neighbors, his friends, the angel Gabriel, they all called him Yeshua.
"An angel of the Lord appeared to Yosef in a dream, saying, “Yosef, son of David, do not be afraid to take to you Mary your wife, for that which is conceived in her is of the Holy Spirit. And she will bring forth a Son, and you shall call His name Yeshua, for He will save His people from their sins.”
“I was watching in the night visions, And behold, One like the Son of Man, Coming with the clouds of heaven! He came to the Ancient of Days, And they brought Him near before Him. Then to Him was given dominion and glory and a kingdom, That all peoples, nations, and languages should serve Him. His dominion is an everlasting dominion, Which shall not pass away, And His kingdom the one Which shall not be destroyed."