Imam al-Shafi'i (may Allah be pleased with him) said: "Because she (a polytheist slave woman) falls within the meaning of the polytheist women who have been made unlawful; she is not lawful, nor is there an explicit text permitting her, as there is an explicit text (permitting) the free women of the People of the Book in marriage. And Allah Almighty has made marriage to the slave women of the people of Islam lawful only under two conditions, and in that is evidence of the unlawfulness of the slave women of the polytheists, who differ from them. And Allah knows best; because Islam is (here) a third condition."
Mujahid (may Allah have mercy on him) said that marrying the slave women of the People of the Book is not proper, because Allah says: "From your believing slave girls" [Surah an-Nisa: 25], that is, from the believing slave women.
Hadith Referenceالسنن الكبرى للبيهقي / كتاب النكاح / 14012