I think that the more interesting story for these Comics to tell would be about the various Saints of OTL and what they did in their lives. 'Jesus' in this TL would be more like the Holy Spirit, some kind of guiding figure that occasionally came to earth and raised up a great Hero in times of need: 'Jesus' would be more of a legacy character, passed on between different incarnations.
The villains could be interesting. Just from the New Testament, we could see something like this:
Legion, an army of ONE THOUSAND DEMONS that work as one.
The Accuser, a sadistic torturer who loves to see how much it takes to break someone.
The Pharisees, a cult that manipulates the law to their own ends.
The Whore of Babylon, the mother of all demons, prophesied to herald the end of the world.
The Romans as an evil empire.
Various false prophets/magicians.
A lot of the character arcs would be interesting to see, like Peter trying to live up to Jesus' legacy as his chosen successor, of Paul/Saul going from one of the main villains of the series to one of its main heroes.
And if we extend it back to the Old Testament...