Because you're replacing the real word for it, and it's a derivative of the real world, thus, it's a cuss word.
If I might continue on from what Aighato said.. "Dayum" is the misspelling of "Damn" or the way some write the pronunciation of "Damn", therefore it is technically the same word. Now, "Damn" isn't so much a "cuss" as it is a "curse". I give you the definition: 1) "(be damned) (in Christian belief) be condemned by God to suffer eternal punishment in hell" - "be doomed to misfortune or failure" 2) "condemn, esp. by the public expression of disapproval" - "curse (someone or something)" (That being straight from the dictionary.) I refer you to "2) - 'curse (someone or something)'". As you read, it defines directly as "Curse" therefore being a curse word.
