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.”
Mattiyahu 1:20-21