<< Tell them you're Jewish. >>
I've found that only makes them try harder.
I am Jewish, so when my sister answered the door and they started and she told them we're Jewish, they said, "Oh that's okay" and continued.
Just be polite, this is what they believe in so respect them for that. They aren't trying to disrespect your religion, they're just trying to obey what they believe in. It doesn't take any effort to be courteous anyway. /me starts singing Kumbaya