Sidney, I'm certain, was Jewish. I don't know that they ever came out and said it, but there were hints. For example, in the episode "Hawk's Nightmare," in response to Hawkeye's question about whether he's going crazy, Sidney tells Hawkeye, "No, a bit confused, a little farshimmelt (Yiddish for "confused") is all."

Darn it, I know there's more than that but it's late and I can't think of any others.