Mary has not opened up about her parents. So, it remains unknown whether her parents are Jewish or not. 

However, Cosby was the funder of Faith Temple Pentecostal Church and even began serving as a Pentecostal pastor. She is married to her step-grandfather Robert Cosby Sr. 

It is also one of the reasons for Mary gaining more attention in the TV show. She also gave birth to a son, Robert, her current husband.