This is the third time in the past year I've heard this phrase. I reject it. I was born Jewish, this incarnation. One of my 17,043. Of the other handful of which I have been made aware of certain circumstances, I know for sure three I did not incarnate in a Jew (I was once a male black slave and once a female black slave and once a white slave trader with the name Conroy) and the other two I doubt I was Jewish. Besides, I fully believe that there is no religion in Heaven and thus and moreover no soul can belong to any religion as I fully believe that religion is a human construct. This is a quote from an essay of another (Laxaa, from her https://medium.com/illuminations-mirror/there-is-no-religion-in-heaven-d08a33511ee8): "I can’t wrap myself in any one “title” because I have had too many personal experiences. I am not saying that all “religions” are valid. I am saying no “religion” is valid. Many “religions” contain kernels of truth; aspects of God. Many “religions” lay claim to certain mystics who were undoubtedly Divinely inspired and knew God. But no “religion” has a monopoly on God precisely because once something becomes “religion” man has added earthly things to it. Earth is not Heaven. As we said when we started this chat, there is no religion in Heaven."
By no means am I saying that you should not choose to adopt any religion as your own. If it feels right to you, you should.
Have you heard of the term syncretism? Wikipedia defines Syncretism as:
"the combining of different beliefs, while blending practices of various schools of thought. Syncretism involves the merging or assimilation of several originally discrete traditions, especially in the theology and mythology of religion, thus asserting an underlying unity and allowing for an inclusive approach to other faiths."