/u/murdochAV

Good question, it is good to be skeptical of such claims.

After some searching I found that that assertion was added by a Wikipedia contributor and has been unsubstantiated since, until just now when it's removed. This is one reason why Wikipedia is not a reliable source. I have never heard of a Spanish ruler in that era converting to Zoroastrianism. There is no mention of this in the cited material in the references section.

Alfonso VI seems to have found a new breath of recognition thanks to the game CK2, I wonder if this encouraged pranks. As you can find from a quick google search, plenty of websites have copied the Wikipedia content verbatim.