I think this an interesting one to throw into the 'are games art?' debate. Art is supposed to provoke emotion and discussion, and this certainly has done that. However, this seems a particularly tacky form of art.
It's quite a facile representation of a major religious figure and beyond slight comical value I don't think it carries much weight. Just about the only argument I can see this game has as a religious statement is to show that Jesus is not exempt from mockery, regardless of how Christians feel about that (and possibly highlight hypocrisy through their reactions).
After a bit of scratching about via Google, I haven't found anything from the devs regarding a socio-political-religious statement, so on the surface it appears this game is little more than an average 2.5D brawler riding on the comical coattails of having Jesus team up with Judas to fight zombies with a fish weapon. Yes, it seems they have done something controversial to generate interest and sales - humans have been known to do this, those conniving bastards.
On to the broader religious issue: yes, I'm sure if the game used Mohammed there would be death threats flying around. It can be assumed the devs did pick a softer target and pandered to their audience to make some money (I'm not sure what the latest Steam user stats are for atheists in Iran and UAE).
I suppose luckily for them the Christian church has gone through reformation since medieval times and isn't as bloodthirstily retributive as it once was. Islam as the younger religion has a bit of catching up to do, but these are social issues, and not game development and marketing ones.
If we keep winding the clock back, zealots of Roman, Greek, Egyptian, and Aztec gods would be equally outraged by a popular culture mockery of their deities, and no doubt with violent reprisals.
So, if history has taught us anything, it's that the Abrahamic religions and their god won't matter to anyone in a few thousand years as the human race marches inexorably forward with new bad ideologies, and will be relegated to the realm creative inspiration for the next PlayBoxStation 4K exclusive (available for telepathic download right now if you pre-purchased the Time-Machine Season Pass).
So in that regard, Fist of Jesus is prophetically ahead of its time, although somehow I doubt anyone will give a shit about it next year, let alone next millennia.
I mean, just look at it.