@Choco basically before we had seen that the zealots in the 10th-11th floor gates are said to be descendents from the witchs, whom are the cause of the witch hunts in the 15th to 18th century at the overworld, so they are already connected to the overworld and just by that connection they could have had the knowledge of Jesus and the bible from the overworld and brought it down into the underworld as cautionary tales and such.
or even the vampires could just fled to the underworld, or the black merchant could had sold the bible to them
I would like to formally erase your existence ✌.