First, I belong to a religion I was not born into. In fact, there are a lot of us out there, so your basic premise is wrong.

Second, naturalism is also a cultural phenomenon in which belief in naturalism is highly correlated with being surrounded with other people who believe similarly. So if cultural/geographic clustering is an argument against a belief, it also cuts against naturalism.

Third, the fact that something is written in a text is not the only basis for belief. Many people have reasons for belief based on both experience and reason.

Fourth, you write "But that still doesn't mean that all three religions can be right," but that isnt right. A religion is not basically a specific, conclusive, and exclusive description of a set of facts. Other concepts that are a better fit would be a spiritual path, a way of life, a symbol set, or a language. The fact is one can often find more agreement with members of other religions than with certain members of one's own, and viceversa there can be great disagreement within a religion.