"In America, you  are so Puritan that the swearing is mostly about sex. Here, since we were repressed so long by the church, people use religious terms."

Likely rooted in the  "quiet revolution" of the 1960s (remember that?  it wasn't just political)

religious words (and truncated variations) became swear words too strong to use in public.

So French-speaking Canada swears with words like

tabernacle,

host

baptism

and yes,

sacred blue

Quote from:  http://www.washingtonpost.com/wp-dyn/content/article/2006/12/04/AR2006120401286.html

see also the wikipedia article about Quebec profanity.