It's not a big deal...for example, my parents would never use the "F" or (imagine) the "C" word but have no big problem with Bloody Hell.
In fact, its origins are rather odd: "Bloody" is a contraction of "By our Lady" as an alternative to "By our Lord" and (if I remember it correctly) was used after the departure of the Church of England from the Catholic faith (post Henry VIII).
Catholic use of prayer to the Virgin Mary was largely abandoned in the CofE and the use of "Bloody" was therefore origninally ironic, not to say blasphemous.
That's the story as I remember it...I haven't looked it up again so I may be slightly off target but the point remains.
As for the use of "hell" - here in England it seems we are less reluctant to use the term than in the USA, where "heck" regularly substitutes...see the thread "Heck is where you go if you don't believe in Gosh" for further information.
KP