Embarred (very) that I am drawn to Judaism?

I don't know why I am so drawn to Judaism. I come from a small town, but seem to find myself living in communities with a large Jewish presence, even though I don't know this at the time of moving into the community. A few years back, I decided to approach a Rabbi about conversion. I was predictably turned away. That really turned me off, and I made the decision never to try again. I'm embarred enough about it just to start with, and being rejected, as per the custom just adds to the embarrment. I moved out of the Jewish neighborhood I was living in, and into another neighborhood in which I was sure was mostly non Jewish. I dance, and began looking for a space to rent. There was none renting in the whole city, except for a synagogue, in my new neighborhood, which turns out to have a very strong Jewish presence. I did not know the dance studio was attached to a synagogue/private school until told by the dance instructor who graciously rented the space to me. The long and the short of it is, they don't want me, but I can't seem to get away. I'm not dancing today because it's the Sabbath (shabat?), and so I'm sitting here wondering what my life would be like as an orthodox Jew. I wish I understood the pull. Maybe someone sharing a similar experience might have some insights.