I mentioned in another comment, but the word "allah" is not exclusive to Islam. It predates Islam by hundreds of years and is even used in modern day by Arabic-speaking Christians, Jews, Sikhs, and some others to refer to their gods. I own an Arabic Bible that uses "allah." So "oh my allah" is functionally exactly the same as "oh my god."
Edit to say: I don't know what other religious aspects are in the game, so maybe it more specifically references Islam somewhere, but the word "allah" doesn't automatically mean "Islam," it could be a pre-Islamic pagan religion.