In Australia they say 'up sh.. creek without a paddle'.

Here we just say "up shit creek" when we mean in trouble. As for jail, I can't think of any that haven't been mentioned. Unless you count calling them by name.

That reminds me. In Manitoba, when someone is acting crazy and should be sent to the nuthouse, we talk about "sending them to Selkirk" (which is where the "insane asylum" is). In Alberta, you send people "to Ponoka" instead. (I can't remember where they go in Saskatchewan.) Do people in other places talk about this in the same way, using the name of the local psychiatric hospital as a threat/joke?