Because Jesus is his name in English.
English is an amalgamation of other languages and didn't come from a root base that was a Semitic language anyway.
We get "Jesus" (the name) from the oldest NT manuscripts. Those are in Greek. There his name is written in Greek and begins now with a J, but an I (Iesous). Since Roman Catholicism took over these Christian documents as much as they possibly could and translated them into Latin for advancing their versions (to the extent that even up to Martin Luther's time Bibles were chained to the altars in their Churches) Christ's name then became known all over the world as Iesus, add then English and you get Jesus.
What Messianic (anythings, Jewish or not) do is return to what God's angel, Gabriel, instructed Mary (Miriam in Hebrew) to name her son, conceived of the Holy spirit. That would is the same name that Joshua had. Why it was translated Joshua but Jesus later, we really don't know. Custom does affect/inhibit the best translators. Actually, it is Rabbinic custom to spell it and say it Yeshua with an e, Yeh, when in fact it had to have had the Yah sound for his name to mean "God saves."
None of us is doubting the his mother and Yosef (Joseph in English) named as Gabriel instructed. Truth be known, either Y'shua (the correct spelling) or Joshua are shortened for the full naming. Much like Mathias is the short form of (God's gift) which is either Matthew, Mattathias, Nathaniel, etc.
So too, Y'shua is short for Yahoshua, which can be spelled Y'hoshua also.
The point being there was no such thing as a J sound in Hebrew until about 500 years ago and that because of the influence of English (which did not exist as a single whole language of itself until in Shakespeare's time).
Yes, that means the original holy Name of the Most High, the Almighty, the Ancient of Days did not and never has begun with a J as in Jehovah either. It came about in the same fashion as "Jesus" as a name did, translations from Greek (the Septuagint) OT down into English.
In the Spanish speaking groups the J is usually sounded out as a Y. So that too affected things. If the Spanish groups spelled Jesus, yet pronounced it Yeh-zuz, that's the outgrowth of Spanish roots in Latin. Both effects resulted in a Jesus where all the English speakers pronounce the J as you know it.
I've no idea how Jesus is pronounced in Chinese or obscure tribes in the Amazon, but I am sure that the God who really does exist and is the Father of our Messiah, God's Word come in the flesh, born of woman, crucified, died and risen, knows if someone is addressing Him or not.
With so many false Jesus', such as the one so many Popes worshipped, and Nazi's killed in the name of, God has created a movement back to truth. With our focus on his name as the Bible gives it (Miriam is actually written for Mary in the original NT) it is much easier to stay focused on the "Jesus" who really did exist verses the one with blond hair and blue eyes that is not the Incarnate Word of God come to earth to be our Lamb of God; the one whom John ( Yochanan) the Baptizer ( HaMatbil) recognized for us all.