No, Jacqui, "bloody" is like "lousy": it acquired its expletive value as an extension of its literal meaning. Swift used it in a letter to Vanessa (which I can't find; but here's an example in a poem of his -- use search to find it). This suggests it was a "respectable" expletive in those days and suitable for use by "nice" people, but later became disreputable by its increasing use by the hoi-polloi. (Probably!)

Shame -- the "by Our Lady" story is a good one!

Steve