Also, '<My god>' is kind of awkward, while Mein Gott is immediately recognizable, and not awkward.
Generally when translating a character like that, at least in comics I've seen, you only do it for dialogue/monologue, and exclamatory phrases retain the original language, as: a) it's generally recognizable, anyway; b) it doesn't really matter exactly what they said; and c) it's just reads better.
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