Several meanings/roots in Britain. The most common reference being to the beheading of Mary Queen of Scots who was beheaded because she was Catholic after the creation of the Anglican church. The majority of English lords betrayed the strong claim to the line of royal succession in order not become subject the Catholic church again - partially out of fear of penalties the Catholic Church was likely to impose and partially because of royal marriages the Catholic Church was arranging to take power out of Britain. Thus all sort sof bad things are implied including betrayal and major turmoil, war, personal disaster, and a violent messy solution.
Alternatively British blasphemy -- which says The Virgin Mary was not a virgin as in Mary was bloody from her ruptured hymen. Of course such a blasphemy means you are going straight to hell having denied Christ is God's son. Thus Bloody Hell refers to huge disaster and misfortune. This form is seldom the sense used today - but when it is there is an implication that the Church or Christianity or God is at fault.
Bloody Mary, they did it again! They assassinated Lady Di for planning to marry into Al-Quaeda.
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