Jesus is the only zombie I need.
Is that a joke? Why do you say Jesus is a zombie or the only one you need?
I don't like zombies because they're usually slow, not like jesus who can get me to heaven.
It's good to be able to joke around about religion. Just make sure you know your audience or it can upset someone if they feel like their faith isn't being taken seriously.
I don't think you understand the relationship between Jesus and me. I don't think He would get mad at my joke.
Jesus might not, but A religious person might. Jokes can seem disrespectful sometimes and you could make them feel mocked or judged if you say things like that around them. It's better to be aware of your audience and how your words make them feel.