That's actually a really interesting bit. The pronunciation of Zeus in classical Greek is "Zd-ay-oos" with a very strong d sound behind the z. The Latin word became Deus, pronounced "Day-oos" referring to divinity in general. This then became Dios in Spanish, Dio in Italian, and Dieu in French, referring to the Judeo-Christian God. No relation to the word Jesus though! That percolates down from Hebrew. :D
In the U.S,, this sentence would describe someone who cannot do wrong. For example, someone who gets the highest performance rating from his boss might be described this way by his (envious?) co-workers. Of course, the religious connotation is also used when appropriate, but I believe I have heard the former more often.