Uriah the Hittite (mentioned in 2 Shmuel 11 and various other places) seems to be Jewish based on his name (Light of God). So why was he called "the Hittite"? Is there any opinion that he was not Jewish?
The Gemara in Kiddushin says that he was Jewish - Kiddush 76b:
אמר רב יהודה אמר רב כדי שתהא זכותן וזכות אבותם מסייעתן והאיכא (שמואל ב כג, לז) צלק העמוני מאי לאו דאתי מעמון לא דיתיב בעמון והאיכא (שמואל ב כג, לט) אוריה החתי מאי לאו דאתי מחת לא דיתיב בחת
(Summary) As a member of Dovid's army, Uriah had impeccable lineage. He was called "Hachiti" because he lived in Cheis.
I recall hearing a recording from R' Yisroel Reisman in which he quoted a Medrash that said that Uriel had a questionable conversion, and the Medrash actually explains with that idea how Batsheva came to marry Uriah and how Dovid was involved. Not the place for it here.
...there is an amazing Midrash [Cite by the Rif on Ein Yaakov Sanhedrin 107a, Me’am Lo’ez on Shmuel beis perek 11 and the Alshich on Shmuel beis perek 13] which reveals that Uriyah was the arms-bearer of Goliath. After Dovid struck Goliath down with his Divinely-guided slingshot, Dovid could not draw Goliath’s sword to chop off his head. Amazingly, Uriyah, Goliath’s arms-bearer, helped Dovid finish off the job.
It would appear from here that Uriah was at one point not Jewish. Based on the other answer it would seem he converted.
In shut Avraham ben Harambam 25 the author states that Uriah was a Jewish convert from Hittite origin. He adds that the Rambam his father maintained that Uriah was not even a full fledged convert but a גר תושב, meaning that he accepted the seven Noahide laws only (perhaps the rambam was trying to explain how David was able to take Batsheba. Indeed if Uriah was still a gentile she wasn't halachically married to Uriah the Hittite and David's act would not constitute adultery).