(1) A really bad turn of events. In addition to the established 'Fuck me' which denotes a bad turn of events, 'Fuck me Jesus' emphasizes a greater deal of anguish and bad luck, some would say on a biblical level. The beginnings of a holy shitfest.
(2) A girl making love to someone named Jesús (Spanish) and can't get over the fact that his name in English is Jesus.
Dude 1: "Hey, are we OK with the math exam? Does someone know we had a copy beforehand?"
Dude 2: "You are fucking kidding me, right?! Didn't you hear they caught us on the security cameras sneaking into the teacher's room."