Unfortunately, vampires have lost some of their cultural cachet in terms of religious horror because they've been rescued from being the Damned to being sexy pale thin models with nice hair. Religious horror is also something that is a take it or leave it for many individuals because aside from THE OMEN, THE EXORCIST, and (ugh) THE DA VINCI CODE -- not many people really want to dwell on the dark side of faith. Atheists rarely want to immerse themselves in the world of sin and damnation while believers dislike dealing with the bloody side of world faiths. But when it's done well, it's often really well.
The CASTLEVANIA series, of all things, touched upon such themes:
Richter Belmont: Die, monster! You don't belong in this world!
Dracula: It is not by my hand that I am once again given flesh. I was brought here by humans who wish to pay me tribute.
Richter Belmont: Tribute? You steal mens' souls and make them your slaves!
Dracula: Perhaps the same could be said of all religions...
Richter Belmont: Your words are as empty as your soul. Mankind ill needs a savior such as you.
Dracula: How? How--How is it that I've been so defeated?
Alucard: You have been doomed ever since you lost the ability to love.
Dracula: Ha--Ah... Sarcasm. "For what profit is it to a man if he gains the world, and loses his own soul?" Matthew 16:26, I believe.
Anne Rice also dealt with the subject matter of vampires and Christianity in her most controversial work, MEMNOCH THE DEVIL. VAMPIRE: THE MASQUERADE linked the Biblical First Murderer Caine with the undead and created an entire vampire religion around it (two, in fact, with the Lancea Sanctum being the vampire Catholic Church and Sabbat being vampire ISIS).
I, myself, am a Christian apologist and come at the subject matter from the perspective of a theist who is also a horror fan, a recovering fundamentalist, and a huge Vampire: The Masquerade zealot. Like David Niall Wilson (former HWA President and Stoker Award winning) I considered studying the ministry before events changed my vocational calling to writing. I maintain a belief in the Judaeo-Christian supernatural but became influenced by the many questions, ideas, and miracles I'd researched. David Wilson writes he doesn't share my faith in his opening to the book but writes an excellent story discussing issues of it.
Now after the longest introduction ever, I should mention that this book doesn't make Jesus a vampire. It's about Mary Magdalen being revealed as a fallen angel incarnated during the Temptation of Chist by Satan and then cursed by the Devil to thirst for the blood of the living. Our first vampiress thus hangs at the margins of the New Testament until the death as well as resurrection of Rabbi Joshua Ben Joseph.
In many respects, it's a straight vampire story as our antiheroine wanders from the desert and starts feeding on humans. At first, she plans to kill those who are "guilty" but this being a novel set during the New Testament, her choices are less than satisfactory from a redemption standpoint. Mary can read the sins of human beings and know their thoughts but this doesn't give her any sense of "humanity" that would allow her to understand nuance or judgement. Killing an adulterer is the same as killing a murderer or a thief.
Much like the film version of THE LAST TEMPTATION OF CHRIST (I didn't read the book) this is about Jesus' relationship to the religion he leaves behind. Instead of Peter vs. Paul like in that work, it's Peter vs. Judas here with the idea of a lost "Book of Judas" that provides the vampire-related subject matter of the Bible with poor Peter getting possessed during events. Basically, if you haven't run screaming from the book so far, you'll be fine. It's a book about our characters' deeply conflicted relationship between faith, Jesus, Christianity, hypocrisy, and the rules generated from both.
The real benefit of David Wilson's work here is his florid prose which is full of all the Gothic melodrama and big ideas which made INTERVIEW WITH THE VAMPIRE and THE VAMPIRE LESTAT entertaining. Early on, King Herod's daughter is made into a vampire and pretty much laughs at Jesus' offer of salvation, finding being undead far more entertaining than the idea of immortal salvation. It's a great moment simply because in a book about the literal divine presence of God in the world, we have a teenage girl preferring being a sexy monster.
Mary the Vampire Fallen Angel is an interesting figure as she is flawed primarily by the fact she has absolutely no skill at making moral judgements. Her failed attempt at being a vampire punisher ends early but there's also the fact she is attracted to figures like Lucifer and Lilith primarily because they're beautiful. One scene I liked is where she rescues a vampire from a lynch mob and talks about salvation to her - only for the vampire to go, "Yeah, I'm going to kill every last one of these people." Given she's effectively a toddler in terms of emotional development, this makes sense.
Does the book have flaws? Eh, I think the book won't be for everybody not only because of the controversial religious subject matter but also because the main characters are represented as iconic larger than life paragons. Jesus is the all-loving embodiment of good (perhaps to a fault in this universe) and Satan really is just an asshole. Much of the book also covers the well-known Biblical tales of the New Testament. It sort of also just ends after the resurrection when I was actually quite curious about several ongoing subplots at the time.
Despite this, I loved the book and think it's great for people who want to deal with vampires in non-traditional situations. Throwing out all the religious symbolism and meaning (which is a bit like saying, "Other than that, Mrs. Lincoln, how was the play?"), it's still a good Goth horror novel. Mary is an interesting character in the fact she is a blank slate stumbling around through a world she was never a part of to begin with as well as trying to make sense of the bizarre situation she's found herself.
So, if you're feeling in the mood for something artsy and love Christian mythology as a sufficiently open-minded believer or as a jaded but fascinated by religion disbeliever then I suspect this will definitely appeal to you. It definitely has inspired me to read David Niall Wilson's Ashen Grail trilogy about an order of vampire Templars--though that is set in the World of Darkness.