It's a tipical italian insult to God, to Mary, to Jesus or to
the saints called bestemmie, used in several occasions especially when you make a mess or when you
accidentally hurt yourself, but it can be used to express even fear, anxiety,
disappointment, anger ecc. but it can be used even as a "filler";
it's possible to create new "bestemmie", the only limit is your immagination, in fact there are lot of variations (orco Dio, Dio ladro, Dio Stronzo, ecc.) and they can change from region to region:
Madonna bucchinara (Campania), Dio Mona (inventato/veneto), Dio Hane (Toscana), ecc. ecc.