This expression is used in
Italy when something hurts a lot.
It'
s an insult to a Divinity, more exactly to
Mary, the mom of Jesus, comparing it to a dog.
Similar to "Madonna puttana" or "Madonna bocchinara".
It isn't suggested to say this to someone that believe in Christ.
Less used than "porca madonna" but still used.
References: Germano Mosconi.