Jesus in Portuguese is not hay-soos. That is a Spanish pronunciation.
Jesus in Portuguese is more like "jay-zoos" (you can listen to native speakers at
http://www.forvo.com/word/jesus_cristo/ ).
Perhaps the Portuguese speakers you heard saying "hay-soos" were referring to a Spanish-speaking man named
Jesus. Otherwise it does seem very odd that they would use this pronunciation, which is neither Portuguese nor English.