"Jesus" is actually a fairly common first name.

Can you explain which other religions you mean? In Christian cultures or with Jewish people for example prophets and saints actually have traditionally provided quite a few common names.

If I have this right, you are asking why Muhammed is such a popular name in the Mideast, but you feel it is "rarer" in other Muslim areas, and you feel the names of other religions' sacred figures are rare in the areas of those religions.

"Blessed is the house in which there dwells a Muhammed" is the old saying, pushing that name's popularity. You may be fooled by local variants not looking like Muhammed to you, like Mehmet or Mamoud. The name is popular in all Muslim areas, resulting in many variants, like John has Jack, Jacques, Ian, Johannes, Hans, Hansel, Jan, Jehan, et al.

As for other religions ...

Down the centuries, until the last few decades, in English-speaking Christian areas, no name was as popular as John, as in John the Baptist. Of course, there are so many variants across other language groups of Europe. Similar sacredness goes with baptising children after saints like Ann, Elizabeth, Margaret, James, Thomas, George.