from the bible, the combination of God and the virgin Mary gave birth to Son, named Jesus Jesus. Although it is a father-son relationship, together with Holy Spirit, Father (that is, God) and Son (that is, Jesus), they form a Trinity.
so My God, My Jesus are actually shouting the same god.
sometimes it's called Jesus Christ!
Nowadays, many universities have a seminary called Trinity College, which is generally translated into Trinity College.