It's just as vulgar as 'what the f.' With adding 'gentle' he is trying to take a little of the "bite" out of 'what the f.' while maintaining his exasperation with the person he is speaking to. But it is just as vulgar, and most would consider it just as insulting. I wouldn't call it made-up but you'll rarely hear it if at all, as it is extremely insulting. It's more something you may come across in a novel.