The Midrash tells a strange story:
When Moses said to Jethro, "Give me your daughter Tzipporah as a wife", Jethro answered, "If you do what I ask of you, I will give her to you as a wife." Moses said: "What do you ask?" Jethro replied: "Your first son must serve idolatry. The following sons may serve God in heaven." Moses accepted. Jethro said: "Swear." And Moses swore. [Mechilta d'Rabbi Yishmael 18:3]
Now, we learned later [Judges 18:30; Avot d'Rabbi Natan 34:4] that the son of Moses' son Gershom indeed became an idolater. But why would Jethro make such a request in the first place? Didn't God Himself tell Moses to welcome Jethro into Judaism with great honor [Midrash Tanhuma, Yitro 6] ?