I live in a western country and sometimes accidentally catch myself saying “Jesus Christ” when I’m annoyed or frustrated. I don’t mean to but it just comes out. Is this a sin?
Yes, it's a sin. In fact, it's even considered shirk.
Essentially, what you're doing is calling out to Jesus even if you don't mean it.
"And invoke not besides Allah, any that will neither profit you, nor hurt you, but if you did so, you shall certainly be one of the zalimun (polytheists and wrong doers). And if Allah touches you with hurt, there is none who can remove it but he, and if he intends any good for you, there is none who can repel his favour which he causes it to reach whosoever of his slaves he wills. And he is the Oft-Forgiving, Most Merciful.”