No.
There is actually a famous story about the question of his Jewishness. Keith was having a meeting with publicists and others. It came up that some people thought he was Jewish. They start teasing him, especially this one guy who says: "Moonie, you've got to be Jewish!"
Moon says: "No, I'm not!"
Then the guy says: "Come on, it is so obvious, look at you!"
Moon is getting angry and he shouts: "Damnit! I'm NOT Jewish!"
Then:...
He pulled down his pants, exposed his penis and said:
"Do I look like a Jew to you!?"
- Dear Boy: The Life Of Keith Moon
I guess that would clearly indicate Keith's own convictions; and seeing as it was Keith Moon, he was known to do outlandish and outrageous things like that.
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