There weren't any Christians around anyway until some considerable time after Jesus' life was over. Jesus and all his immediate disciples who went around with him at that time were Jews, and what they considered themselves to be doing was reforming Judaism, not launching a new religion called "Christianity". On top of that, though, Jesus preached to everyone. He was a true Universalist in nature. There was no particular need to turn his teachings into an official new religion with a new name. Just a need to learn from them and practice them, that's all. That would not require a new religion.

So the fact that he most probably looked like a Jew of the time is totally appropriate in every way.