I will bow to your knowledge, Bamabelle! I just never heard it applied to this event.
I say "reportedly" because so much of the Czarist history of that period has been tainted by Soviet propaganda. In any case, this is how Wikipedia tells it:
Bloody Sunday (Russian: Крова́вое воскресе́нье; IPA: [krɐˈvavəɪ vəskrʲɪˈsʲenʲjɪ]) is the name given to the events of Sunday, 22 January [O.S. 9 January] 1905 in St Petersburg, Russia, where unarmed demonstrators led by Father Georgy Gapon were fired upon by soldiers of the Imperial Guard as they marched towards the Winter Palace to present a petition to Tsar Nicholas II of Russia.
The consequences, again according to Wikipedia, were quite dramatic:
Bloody Sunday caused grave consequences for the Tsarist autocracy governing Imperial Russia, showing disregard for ordinary people which undermined the state. The events in St. Petersburg provoked public outrage and a series of massive strikes that spread quickly throughout the industrial centres of the Russian Empire. The massacre on Bloody Sunday is considered to be the start of the active phase of the Revolution of 1905. In addition to beginning the 1905 Revolution, historians such as Lionel Kochan in his book Russia in Revolution 1890-1918 view the events of Bloody Sunday to be one of the key events which led to the Russian Revolution of 1917.
That the Left has now coopted the term "Bloody Sunday" to describe the events at Selma should perhaps give us all pause for thought.