Well, IMO, using 'Jesus!' as an exclamation in this culture has little to no religious significance anymore.
Also, it's sort of a comprehension thing. If someone shouts like that in a panic, it's understood, but we don't have enough of the backstory to correctly understand why someone's shouting "Bartholemew Bear's Dad!" or whatever.
Totally agreed, it's a bit like Falco calling you "Einstein" if you shot him in Star Fox 64. It's understood as a general isult by the reader, so it's alright to use instead of bringing in completely unexplained excamations. Oddly secific, I know, but it came to me right off the bat.
Anyway, religion in OP would be… Interesting, to say the least. I wonder what Bartholemew Kuma's reaction would be if he met Enel? Someone calling themselves God. I guess Oda could bring this up, but if it became too integral to the plot it could get annoying fast. It would seem a bit too much like real life for me, and I've always taken pride in Oda staying in fantasy world and making you care about what happens without being a political speaker.
That said, I would be fine if Skypeia and the battle with God were as far as we get into religion - once you've owned God, you've really done it all, eh?