That's taking the LORD's name in vain which, according to Catholicism, is considered blasphemy which is literally THE single worst type of sin you can commit. See you in the 9th circle!
Not religious nor an expert on this, but as far as I know:
"Taking the Lord's Name in Vain" is the technical term in Christianity for using words that refer to God/Jesus in any context that isn't directly referring to them, which is considered a form of blasphemy. The majority of Christians, Catholics especially, believe that even expressions like "oh my god!" or exclaiming "Jesus!" when surprised constitute taking the Lord's name in vain, or as is what is happening here, where you use Jesus for something unrelated to him. And the bible does make it very clear that blasphemy is worse than literally any other sin.
I think there are more rules, too. I think you're not allowed to swear (wherever that comes from). And there are restrictions/superstitions(?) put on other names. I don't think christians speak out Satan / Beelzebub. Probably because calling their name conjures a deamon or people said names have some power to them.