You're missing the point  there is a theory that Ashkenazi Jews originated in Khazaria (not Israel) and converted to Judaism only in the 8th-9th Centures C.E.  The western portion of Khazakhstan corresponds to historical Khazaria, so it's almost like Sacha Cohen (half Ashkenzai Jew) is poking fun at the people from the same region where Ashkenazi Jews are proposed to have originated from (and to make matters even more 'funny,' Borat is anti-Semitic).  Face it: if Borat grew a beard and had a NY accent, he'd be Jewish all the way because Sacha Cohen looks like a Caucasianized, Eastern European Jew (even though he has a Sephardic mother).