Not just aliens but all speakers of imaginary languages. Think about it. A polytheist who says “My god!” means something quite different than does a monotheist—and wouldn’t capitalize.
In Listening at the Gate I needed an epithet for use by Nondany, the itinerant master folklore collector. I settled on “By life!” I like it so much I want to get a slang wave going.
Recently a librarian nailed me with a steel eye and asked whether there was any “bad language” in the novel. I explained that it took place in an imaginary culture, but since all cultures have profanity, I’d had to invent some. She looked baffled. And bought the book.