Names do not change from language to language. One can listen to a foreign broadcast and recognize names of world leaders such as Bush, Yeltsin, Kohl, and Mitterand. Names are transliterated ("given the same sound") by employing equivalent letters of a given alphabet.
Names very often do change from language to language. In many cases the spelling of a name becomes fairly fixed and is pronounced differently by speakers of different languages, for whom the letters have different phonetic values. Thus Jesus is pronounced Hay-Soos in Spanish or Gee-zis in English, while the original Semitic Yeshwa' had neither of these consonants or vowels. Think also of names of foreign countries or cities that often have very different pronunciations around the world (e.g. the Swedish city Gothenburg which English-speakers might pronounce Gah-then-burg, German-speakers might pronounce Goh-ten-boorg, but which the Swedes themselves pronounce Yö-te-boh-ry). Second, because of differing phonetic systems, transliterations are usually inexact (remember Peking as the transliteration for the city currently transliterated Beijing?), and this is evident again in the transliteration of Semitic Yeshwa' into Greek and Latin which involved the loss of the coda consonant 'ayin. A simple comparison between the forms of Hebrew OT names in the Greek NT can easily show this to be the case.
The development from a theoretical Yahweh to the modern Jehovah is complex because it involves not just transliteration but also influence from other Hebrew words. The amount of divergence between Jehovah and Yahweh also varies according to one's language; in German, the initial /j/ is pronounced as glide [y] (same as in Yahweh) while in English, the same letter is pronounced as an affricate J. The insertion of the vowels from adonay and elohim played a role in altering the pronunciation of YHWH, but considering how pliable foreign names are, I fail to see how this is supposedly worse than the changes wrought by transliteration. The latter can include the deletion of consonants, metathesis, change of vowel values, and errors mistaking one consonant for another. Gee-zis seems to me to be as distorted a name as Geh-ho-vah; the latter is different only in involving one additional means of phonetic drift. Also: (1) "Iesus" is a transliteration, not translation, into the Latin alphabet of the Greek name Iésous, which itself is a transliteration of an Aramaic name. Spelling it with a "J" is a relatively modern development, going back at least to the 1629 KJV (before that, it was spelled "Iesus"). (2) Jesus is not a purely transliterated name either. Consider the final consonant -s in Jesus. This is the nominative case ending in Greek and Latin, which did not appear in other grammatical forms of the name (which varied according to case). In English, this -s has been fossilized as part of the name itself, occuring regardless of case, even though it was not originally part of the base in either Greek or Latin. If Jehovah is a hybrid incorporating elements from other words, Jesus is a hybrid as well -- incorporating a grammatical suffix that was not originally part of the name.