Assalamou alaykoum
I've heard many rumours about M.J. conversion to Islam, and that he spent some time in Qatar where he converted and built a mosque there, but since M.J. was a public figure, I don't think it's gonna be easy to find out if he did or not, because same story happened with the French oceanographer Cousteau. many claimed at that time that he converted to Islam, but nothing official was said about it. Until couple of months ago I saw a Moufti from Dubai on a National TV talking about him, he claimed that Cousteau did convert, and a Muslim guy that was in Cousteau ship crew did put Cousteau and this Imam in touch, and that same Imam heard Cousteau doing sha'hada, and then he explained to him Salal, Zakat...etc
The name of the Imam is Abdoullah el Mousleh عبد الله المصلح
And yet Cousteau didn't have a Muslim Funeral. It's sure such a personality converting to Islam through a scientific discovery will have a such an impact that enemies of Islam won't permit such news.
Salam