Here's whit ah got aff the net.
From Paul Tracy in the UK: "During an Internet dialogue, the question came up - why do people say Jesus H Christ? It never seems to be any other letter. It sounds American, but what does it stand for and where did it originate? Holy seems to be a strong candidate, or could it be from "Hallowed be Thy (middle) name"?" A. There have been various theories, but the one that seems most plausible is that it comes from the Greek monogram for Jesus, IHS or IHC. This is formed from the first two letters plus the last letter of His name in Greek (the letters iota, eta, and sigma; in the second instance, the C is a Byzantine Greek form of sigma). The H is actually the capital letter form of eta, but churchgoers who were unfamiliar with Greek took it to be a Latin H.The oath does indeed seem to be American, first recorded in print at the end of the nineteenth century, although around 1910 Mark Twain wrote in his Autobiography that the expression had been in use about 1850 and was considered old even then. Its long survival must have a lot to do with its cadence, and the way that an especially strong emphasis can be placed on the H.
Nineteenth-century Americans weren't the first to take the Greek letters to be Latin ones - since medieval times the monogram has often been expanded into Latin phrases, such as Iesus Hominum Salvator, Jesus Saviour of Men, In Hoc Signo (vinces), in this sign (thou shalt conquer), and In Hac Salus, in this (cross) is salvation.