He's talking about European Christianity and he is simply pointing out that European Christians did not abide by the ethics as professed by Christianity. They act as though 'God' is not alive. Unlike other prophets & demagogues who came to turn their attention back towards God, he declares God is dead. Taking this seriously means finding a new anchor for morality.
Although Nietzsche mentions other religions in passing, it is clear he knew very little about them. But given the prominence of Western modernity & its philosophical tradition on the world stage its not surprising reactions develop elsewhere - hence the pointed Osho quote - to interpret, kill your God if you must, but don't try the same trick with ours.
Nietsczhe is not a metaphysician, he is a moralist (or as he would prefer - an immoralist). This also explains the distance between Osho (as a mystic - towards God/Infinite/Mystery) & Nietzsche (as an moralist - towards World/Power/Senses).
Note, Nietszche makes it very clear that he is an admirer of Christ and of Socrates - a strong ethical thinker:
In truth there was only one Christian and he died on the cross
Nietszche was brought up in a pious household, his father was the local pastor. In his first year at university he won the preaching prize. Being the man that he is - would he have not dared to compete with the great renunciate Christ himself? One could then suppose his rejection of Christianity came as a great release.
However to classify him as a straight-forward athiest is to reduce the complexity of his religious thinking - it is an act of appropriation by those who have come after him, as he himself wrote:
How much boundlessly stupid naivety is there in the scholar's belief in his superiority, in the simple, unsuspecting certainty with which his instincts treat the religious man as inferior and a lower type which he himself has evolved above and beyond
Further, world-historically speaking, this isn't the first time athiesm has made an appearance - for example the Nyaya-Lokyata & Carvakata school in India. The Greek atomists, epicureanists & stoics.
Finally, anthropologists have identified religion as deep-rooted 'instinct' in society. One could ask can atheism take a religious form? Recall that Buddhism developed without a personal god(s) in contrast to the exuberant polytheism of the many schools of Hinduism. It is rightly seen as a religion now, though the Western form of it seems rather more to emphasise its philosophy and its godlessness.
Consider further that Auguste Comte, a french philosopher of science founded positivism, and the religion of man - a religion without God or the super-natural - and roundly ridiculed at the time by both theists & atheists; consider also the new social movements of Brights. To paraphrase Zizek, when religion passes away it comes back first as tragedy, and then as farce.