His choice to set sail for the New World on August 2, 1492, the exact date ordained for the expulsion of Jews from Spain does suggest he may have not converted yet.
Further, It's also known that the family profession was weaving, a traditionally Jewish profession at the time and that Jewish given names like Abraham and Jacob were common in the family of Columbus' mother.
One of the hypothesis from the dna analysis says:
> hypothesis proposes that Columbus was a Jew from the Mediterranean port city of Valencia. His obscure early life, according to this theory, can be explained by the fact that he sought to hide his Jewish background to avoid persecution by the fervently Catholic Spanish monarchs.