He is not Muslim or representative of Islam, as some would claim, and it’s not something that’s difficult to figure out if only people would do research into Dio’s character.
For those who don’t know Dio’s backstory, and are only familiar with him through his famous catch phrases “WRYYYYY” and “THE WORLD” and don’t even know that Dio even sometimes says “WRYAAAAA,” here’s a brief synopsis. Dio was a young boy adopted by the wealthy Joestar family, and began a love/hate (mostly hate) relationship with the son of the household, Jonathan Joestar. In their adult lives, with Dio pretending his hardest to be on good terms with Jonathan, Dio discovers an ancient power which turns him into a powerful vampire. After suffering defeat at the hands of Jonathan and what appears to be his demise, Dio reappears many years later to antagonize Jonathan’s great-grandson Kujo Jotaro, now armed with the body of Jonathan Joestar himself and a powerful time-stopping “Stand” or spiritual apparition called “The World.”
Dio believes himself to be the greatest thing since sliced people, and is incredibly arrogant and full of himself. He in no way represents anything having to do with Islam, and in fact based on Dio’s character the only reason he’d be reading the Qu’ran would be to mock religions. He would say something along the lines of, “These fools worship a God they cannot see, when I already walk the Earth!”
…Which is a whole different problem, but it has nothing to do with Islam being a religion for super villains.