What animals have Jesus in their names?

There are no animals with "Jesus" in their names. This is likely because "Jesus" is a human name with strong religious connotations.

It's possible you might be thinking of the name "Jesu" which is used in the scientific name of a bird:

* Jesuita Amazon (Amazona jesuitai)

This name is derived from the Jesuit missionaries who were active in the area where the bird is found. It's not related to the name Jesus.