The Irish woman is presumably Catholic. I’ve never heard anyone but a Catholic use this phrase (as an exclamation of amazement or disbelief at something, much as the movie character does). Growing up Catholic it was something I heard frequently from the older family members. It was never seen as “profanity” — certainly not along the order of g.d. or anything like that, more of a “wow, what’ll they think of next” sort of thing.
??
No one in my family (Irish Catholic) ever said “Jesus, Mary, and Joseph” as an exclamation. It was, in fact, one of the specific prayers classed as “aspirations.” “My Jesus, Mercy,” “Jesus, Mary, and Joseph,” “O, Mary, conceived without sin, pray for us who have recourse to thee,” etc.
I never heard the f-bomb until I was 14, when I first went to government school.