It's important to remember that the account of Cyrus setting the Jews free was written by Jews, for Jews, so it will be written through the lens of Jewish culture. If it had been the Greeks writing they'd have more than likely said that Cyrus was told something similar by Zeus.
Actually he probably wasn't a Zoroastrian because he recognises the existence of multiple deities and the validity of their cults. The Cyrus cylinder accredits him saying:
"I am Cyrus, king of the world, great king, mighty king, king of Babylon, king of Sumer and Akkad, king of the four quarters, the son of Cambyses, great king, king of Anšan, grandson of Cyrus, great king, king of Anšan, descendant of Teispes, great king, king of Anšan, of an eternal line of kingship,
whose rule Bêl and Nabu love, whose kingship they desire for their hearts' pleasure. When I entered Babylon in a peaceful manner, I took up my lordly abode in the royal palace amidst rejoicing and happiness.
Marduk, the great lord, established as his fate for me a magnanimous heart of one who loves Babylon, and I daily attended to his worship.
"From [Babylon] to Aššur and (from) Susa, Agade, Ešnunna, Zamban, Me-Turnu, Der, as far as the region of Gutium, the sacred centers on the other side of the Tigris, whose sanctuaries had been abandoned for a long time,
I returned the images of the gods, who had resided there, to their places and I let them dwell in eternal abodes. I gathered all their inhabitants and returned to them their dwellings. In addition,
at the command of Marduk, the great lord, I settled in their habitations, in pleasing abodes, the gods of Sumer and Akkad, whom Nabonidus, to the anger of the lord of the gods, had brought into Babylon."
"May all the gods whom I settled in their sacred centers ask daily of Bêl and Nâbu that my days be long and may they intercede for my welfare. … The people of Babylon blessed my kingship, and I settled all the lands in peaceful abodes."
All of those are from the Cyrus cylinder (translation can be found here
The Cyrus Cylinder )
So from the looks of things, Cyrus kept faith with some of the old gods of the Persian Empire and conquered peoples - specifically Marduk, and possibly Bel and Nabu as well.