It is a matter of transliteration.  His actual name in Hebrew is vocalized as “Yahushua”. When transliterating the Hebrew word for Yahushua into Greek/Latin, the Greek word is vocalized “Iesus”.  Then from Greek to English it would have originally been “Yesus” then “Jesus” as the “J” sound developed.

The exact thing happens today.  If I go to Japan and introduce myself as Phillip, then the people of the language could vocalize my name just as I say it to them.  However, if I attempt to write my name in their language and ask them to vocalize it, the results would be “Firippu.”

You will hear a lot of myths about how the name ended up as Jesus.  Just know that His name is Yahushua (some pronounce it differently) and if you know His name it makes sense to call Him that.  Everything else is debatable and you shouldn’t waste your time.