The verse is:
The real battle yet begun
To claim the victory that Jesus won
On Sunday, Bloody Sunday
My interpretation:
Yes, the death of Jesus on the cross, which actually happened on a Friday (Good Friday), was a sort of Bloody Sunday in that he was the victim of violence committed allegedly in the cause of religion. But "the victory that Jesus won" happened with his resurrection on Sunday, which demonstrated God's triumph over the curse of death under which humanity lives. Anyone who is joined to Jesus by faith will ultimately experience the same triumph over death (I can provide a much longer explanation if you'd like). So the song is saying that the "real battle" people should fight is not the nationalistic, pseudo-religious civil war in Ireland, but to acheive the true peace that can only come from God's reconciling humanity to Himself and each other through the death and resurrection of Jesus. This victory has already happened ("Jesus won" = past tense) but must be appropriated by faith in each person's life (see 2 Corinthians, Chapter 5 and Colossians, Chapter 1 in the New Testament).
You may ask, then, if Jesus won this great victory 2000 years ago, why do so many awful things happen and why does Bono write songs like Wake Up Dead Man and Peace on Earth in response? The answer is explained by a famous World War II metaphor coined by the Swiss theologian Oscar Cullman. Jesus' death and resurrection is like D-Day - it was a decisive victory and the establishing of a beachhead that guaranteed ultimate triumph, but enemy resistance was still active afterward. Jesus' second coming is like V-Day - it will bring the final downfall of evil, pain, suffering, etc. as humanity and the earth are perfected and we achieve "heaven." In between the two, as we wait, we sing "how long . . . to sing this song?"