Yea, my family says it too. And it is just "Madonna," as in La Madonna, or the Virgin Mary. In English we use 'Christ' as an explicative, in Italian the use Mary. I think the emphasis shifts for effect the same way we sometimes do.
I've noticed my father says just 'Madonna' to show surprise or anger, but jsut mutters 'Madonna Mia' when he's particularly disgusted about something.