Wiktionary
sweet jesus
n. (context idiomatic English) Used to add emphasis, particularly by Catholics.
Wikipedia
Sweet Jesus
Sweet Jesus was an indie rock band formed in Birmingham, UK, in the 1990s. Formed following the breakup of rock band The Mossbacks, the band was championed by such magazines as Melody Maker and Volume, and amassed a modest catalogue of releases before suffering at the hands of the Rough Trade Records demise of the early 1990s.
The band were favourites of UK DJ duo Mark and Lard, with them heading the influential "Hit The North Show" on BBC Radio Five. The band's 1992 single Albino Ballerina was chosen as Mark Radcliffe's single of 1992 in his NME end-of-year roundup.