How to be more assertive with friends when mocking my religion??

I’m dual-faith due to living with both of my parents of different religions (Catholic and Jewish). Both religions are things that I hold very close to my heart and while I usually never had problems with my identity in my old town, I started noticing a huge increase when moving in 6th grade (I’m 14 now). My friends constantly degrade me or bring up WW2, tell me they’re going to stick me in a gas chamber, compare me to Anne Frank, and etc for no reason. I don’t understand what I did for them to make these jokes to me, if anyone knows how to tell them to stop without seeming like a dork, that would be a really big help. I feel very isolated from my peers and I wish it wasn’t this way because I used to love school.