This AP report raises the possibility that Nick Berg was brutally decapitated because of his being Jewish:
Berg’s father said his son was Jewish and had a fringed religious cloth with him, but he did not think Berg wore the clothing in public. Still, “there’s a better chance than not that they knew he was Jewish,” Michael Berg said. “If there was any doubt that they were going to kill him that probably clinched it, I’m guessing.”
Jewish Telegraph Agency has more on this, and The Forward says Berg had been becoming more observant.