What can I do about a supervisor that uses an ethic slur?

Your first step has to be to tell him, directly, that it's offensive, and you want it to stop.  If that doesn't work, you would have to go over his head and put the complaint in writing.

An ethnic slur is an ethnic slur, and it's inappropriate for a modern American workplace.  I don't know if a case like this has ever gone to court, where the slur is ordinarily associated with an ethnicity other than the target's.  If you look at all Jewish, it just might be enough to make this stick.

I'd hope that management puts a quick stop to this.  And if your supervisor retaliates against you in any way for making the complaint, either the one to him or to his bosses, that's illegal, too.  If you do have to go over his head, you are entirely justified in asking for a working environment where you don't have contact with this fellow any more.