Health: When offered a choice between leaving Spain or taking up Avodah Zarah, left. They gave up all their property and undertook long sea voyages to places where Jews were allowed to live (in ships that would be quite uncomfortable by modern standards).
Those who remained became the “marranos.” They made a decision to publicly accept Christianity so they could keep their property. Many of them were persecuted anyways, but remember, especially if talking about the early 16th century, they were ones who decided to stay when they had a choice.
If Columbus were really a Jew, he would have been working for anyone except Spain. At that time, skilled sea captains were in demand in many countries. He chose to stay in Spain. If he was a “marrano”, he would have married a Jew. The underground Jews were very fussy about that (which is why they get annoyed when their yichus is question after 500 years of underground marriages).
And given his willingness to engage in kidnapping people to sell as slavery and ethnic cleansing, we really wouldn’t want to claim him.