Amarr, Caldari, Gallente, Minmatar...it hardly matters. All factions have their own religions.
Jace could choose to have a religious revelation and join the Disciples of Ston, or even the Blood Raiders if he wanted.
Your character could turn on a dime, and it wouldn't be inconsistency, it would be character growth and development.
How many characters have started out as the 'bad guy', only to turn out to be the 'good guy' in the end? That is what is referred to as the 'changeling' in the heroic cycle of Joseph Campbell's 'Monomyth'. Lando Calrissian is an example of such a character.
Consider what Jace the character might be missing in his own life. You expressed interest in the Amarr before. Is it the story line? The religion? I can certainly see how the Caldari state could be narrow and constricting, and how the Amarrian religion might offer a kind of escape, or hope.
I have been reading a bit about the Khanid, who are very tight with the Caldari. There are a few Caldari that have settled in Khanid space, and are referred to by the locals as 'Khaldari'.
Odelya has said she is kind of lonely on the Tetrimon front. The cult of Tetrimon are plenty fanatical and bloodthirsty. Have you thought about a religious conversion? If not for religious reasons, have you considered their financial transactions?