The midianites were children of Abraham through his concubine called Keturah
KJV Genesis 25:2,4-6 And she bare him Zimran, and Jokshan, and Medan, and Midian, and Ishbak, and Shuah... And the sons of Midian; Ephah, and Epher, and Hanoch, and Abidah, and Eldaah. All these were the children of Keturah. And Abraham gave all that he had unto Isaac. But unto the sons of the concubines, which Abraham had, Abraham gave gifts, and sent them away from Isaac his son, while he yet lived, eastward, unto the east country.
So Midian, along with his siblings, was sent away from Isaac with gifts for sustenance. The Bible says of Abraham:
KJV Genesis 18:19 For I know him, that he will command his children and his household after him, and they shall keep the way of the Lord, to do justice and judgment; that the Lord may bring upon Abraham that which he hath spoken of him.
All Abraham's children were brought up in the way of the Lord.
It is notable that there have been people worshipping God outside of Israel:
KJV Genesis 14:18 And Melchizedek king of Salem brought forth bread and wine: and he was the priest of the most high God.
As Midian was Abraham's son and was instructed in the way of the Lord, it is very very likely that Jethro was a priest of the Most High God.