There is no evidence whatsoever to support the claim that Jacques Cousteau converted or even considered converting to Islam.
The only quote attributed to Cousteau concerning this issue originates from an Islamic publication that aims to propagate Islam, and is not attributed to Cousteau by any reliable neutral sources.
The Cousteau Society founded by Jacques-Yves Cousteau himself denied the rumor, a denial which came in the form of an official communication that Cousteau felt no need to repudiate even though he had the time and authority to do so.
His family have respectfully denied there is any truth behind the rumor on several occasions, and he was also buried in a Roman Catholic Christian funeral. (read more)