It's been reported (via Destructoid) that the recently released Diablo III has a naming policy for its characters, preventing players from naming their characters after religious figures.
Names like "Jesus" and "Antichrist" are disallowed, and so are the names of religions like "Hindu" and "Mormon". However, certain names, like "Scientology," "Catholic" and "Buddhism" appear not to be banned. For whatever reason, the naming policy seems selective, so if you plan to name your characters after a religious figure or a particular religion, you may find it to be a bit of a crapshoot.
Blizzard has yet to release a complete list of blocked names, but you can be certain that religion, like racial and sexist slurs, are not allowed as names in Diablo III or any other Blizzard title.