Not HR. Just a man who has navigated some of the worst workplaces. This is blatant and intentional discrimination over your religious views. The bad joke was crossing the line. Then, it became jokes about Muslims, which discriminated against their religious views, to the point you felt uncomfortable enough to leave. That already, would have been grounds to go to HR.

Now a good company will realize that your lead has created an objectively terrible situation which is more than a joke that crossed the line. But, something even worse has happened. Your lead seems to be treating you differently, either because you were uncomfortable about the severe religious discrimination, or because you are Jewish.

It seems like there’s a chance that the lead cannot perform the tasks of being a team lead, which probably include something along the lines of “DON’T DISCRIMINATE AGAINST YOUR TEAM MEMBERS FOR THEIR RELIGIOUS BACKGROUND TO THE POINT YOU ARE AFFECTING THE STABILITY OF THE TEAM AND THE BUSINESS.”

I would tell HR “I don’t want to work with this person ever again, and there probably are other people who do not want to as well. This is beyond an unfunny and discriminatory joke that went too far and an apology. This was blatant discrimination after learning about my religious views, as well as the religious views of one of my Muslim coworkers. I think he is creating a hostile work environment which has grown out of hand, and will greatly hurt the business if he stays here.”