En fait la Diable Jambe est pas si WTF-esque :
Diable Jambe is probably a reference to the "sauce à la diable", a French spicy sauce.
The word "Diable" is the French word for Devil.
When using Diable Jambe, Sanji assumes a stance and fights similar to the fighting style Muay Thai, which relies on strong direct kicks.
Sanji's mentor, "Red Leg" Zeff, may have been an inspiration for this technique.