Well, here is my guess. Ah my goddess is used in Asia, especially japan and taiwan. The "ah" came from the original title, aa megami sama. To make it look more english, they change the 'aa' in the japanese title to 'Ah'. when the anime was imported to the west. they change 'ah' to 'oh' to make it sound like the commonly used term,' oh my god' with a twist in it.
Put this together with some guesses and some sources i read on the net.
29-Jun-2004