“Ethnic Muslim”? Never heard the phrase. You will however never hear the phrase Ethnic Christian.
I guess that you never heard that in Socialist Federative Republic of Yugoslavia a “Muslim” became the name for ethincity. In general I agree with you, because nowdays Bosniaks (BosniaNs are Serbs, Croats and Bosnians that live on the theritory of Bosnia) or SFR Yugoslavia Muslims were christians, Serbs and Croats before they converted into Islam during the Ottoman occupation.
I have heard people called ethnic Jews. Not religious but still carry on some of the traditions.