It is forbidden for a Jew to say that he is an idolater so that they will not kill him. But it is permitted to change one’s clothing so that they would not recognize him as a Jew in time of persecution, so long as he does not say he’s a Gentile. -Shulchan Aruch, Hilchot Avodah Zarah
Such is the history of our people that such considerations are given thought.
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