The English language is a funny beast. We have sayings that we all know and use, but don't really understand.
Heavens to Betsy is one that springs to mind. Who is Betsy and why does she deserve all the heavens? AND how did that get turned into a default exclamation? Charles Earl Funk in his book "2107 Curious Word Origins, Sayings & Expressions" is stumped by Betsy too. He thinks this phrase is at least a hundred years old and it breaks geographic boundaries. This one has been relegated to "source unknown" and its roots have been gobbled by history. Some speculate that it has something to do with Betsy Ross, but the usage seems to indicate otherwise.
Ah, Betsy, a woman who knows the power of mystery.