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.