Why 'when she's bad, she's christian'?

Well at first I asked myself the same question but then I thought he meant that there is no such thing as an oriental woman bad, so if you see a woman bad she must be...something else like christian for example, there is no way she could be oriental. I guess he was too much in love with "her" and that's why he said that...He wasn't interested in his wife anymore or any other european woman for that matter, he was just mesmerized by "her"...

conservative, unadventurous, unexotic, dull, docile, puritanical ???

Many Chinese that converted to Christianity were executed during the communist regime. Therefore being a Chinese Christian woman to him an act of rebellion or going against the norm. Therefore when a woman is considered bad, she's Christian.

Maybe because she may be considered a daughter of Eve, the first human being who sinned, hence inherently sinful. Nietzsche accused Christianity of devaluing the present life and its enjoyment, an enmity manifested in concepts like sin, damnation etc.

In any case, it's a superbly funny line.