KaKa, He may have been the son of a Roman soldier and a Jewish woman. There were Roman soldiers stationed in Galilee at the time of Yeshua's appearance. These things happen. He is referred to in the Christian text, the New Testament, as Jesus, Son of Mary. Had he been legitimate, he would have been called Jesus ben Joseph. Nowhere in the ancient writings will you find this figuration.
Jews could be Roman citizens. Paul (Saul of Tarsus) was a Roman citizen and claimed his legal rights as such when confronted with a trial.