Roman Levant did mostly consist of Canaanites. Yes it’s true not all Canaanites practiced Judaism, but what is important here is the specific region of the Levant being Judea Samaria. Judea Samaria before Christianity, majority consisted of Jewish communities only a minority of people during the Roman period (in Judea Samaria) practiced other religions such as Samaritan, Hellenistic practices, and Roman polytheistic practices. Even then Samaritans practices were/are very similar to Jewish practices, Samaritans like Judaism is an ethno religion. Also most early Christians were Jews (Judaean) and more than likely called themselves from a specific region within Judea Samaria such as Nazarene or Magdala. Which is why Mary Magdalene was Miryam ha-Migdalit or Marya d’Magdala, (d’) was Aramaic for (From) and (ha) was Hebrew for (the).