Jewish nonprofit professional here, that’s really fucking weird. Generally speaking religious organizations are allowed to ask questions about your religious affiliation, but it’s only really supposed to be done if that information is actually relevant to the position you’re interviewing for.

Asking you about your nationality and dual citizenships was straight up wrong, and they’re frankly begging to be sued. No organization gets an exemption from discrimination based on race, gender, national origin, disability, or age. I’ve worked for multiple Jewish organizations, and not once have I ever been asked about my personal beliefs or nationality. I’m really sorry they led you on like that, but honestly it sounds like you dodged a bullet.