Why do you assume an alternative true religion exists in the first place?
And within that single question, many questions are implied:
- Does true religion even exist at all, or are they all (at least partially) false?
- Is there a difference between true religion and false religion? Can there only be 1 true (enough) religion?
- Does God even care which religion you choose? How would you know?
- Do you even need to belong to a religion to be OK with God?
If there is a true alternative, it will come your way (as I am convinced a truly loving God would make that happen if he wants us to know the true religion).
No need to stick with known liars and false prophets until that time; it will only restrict your search.
Also, the Bible clearly states that it's not okay to associate with liars and people who hide their true identity (like the Borg does)
Your way of thinking is heavily influenced by JW doctrine...."where else would we go?"
Well even without being a JW you can pray, spread the good news, love God above all, and your neighbour just as much.