While the Chi Rho monogram is composed of the capital forms of the first two letters of the Greek word Χριστός, the IHϹ monogram is composed of the first three letters of Ἰησοῦς, which, if you recall, is the Greek spelling of the name Jesus.More background and details at Mental Floss.
The first letter is the Greek letter iota ⟨I ι⟩, which looks like the Latin letter ⟨I⟩ and makes the [i] sound as in the word machine, or sometimes the consonantal [j] sound as in the word yellow. The second letter is the Greek letter eta, which makes the long E sound, but which looks like the Latin letter H ⟨H η⟩. The third and final letter is the lunate sigma ⟨Ϲ ϲ⟩, a form of the Greek letter sigma which looks extremely similar to the Latin letter ⟨C⟩ and makes the [s] sound as in the word soft.
These are the first three letters of the name Ἰησοῦς, the Greek spelling of the name Jesus used in the original Greek text of the New Testament. At some point, however, presumably sometime in the early 19th century, ignorant Americans who were accustomed to the Latin alphabet and who knew nothing of the Greek alphabet mistook the letters of the IHϹ monogram for the Latin letters J, H, and C. They concluded that the J must stand for "Jesus" and the C must stand for "Christ," but then no one could figure out what the H stood for. Apparently, some people just concluded, "Hey, I guess H must be his middle initial!"
Eventually, the phrase "Jesus H. Christ" became something of a joke and it began to be used as a mild expletive.