I am not studies on this matter, but I am inclided to think they were Jewish.
Ditto on the Jewish soldiers. Since the guards reported back to the chief priests (Matt. 28:11) and not to Pilate or a Roman authority, it makes sense that they were part of the Sanhedrin's temple guard, and therefore Jewish.-Sara H
Roman soldiers did not fall asleep on duty, as it would mean their death. So admitting that would imply they were Jewish.