This makes for a (rather less than) amusing anecdote. As you know, German scholarship in the Renaissance and following led much of the paved way for modern scholarship. German scholars noticed in the Hebrew Masoretic text (from the ninth century CE) that the vowel points below the Tetragrammaton YHWH were as if the word was YaHoWaH, which based on grammatical and lexical convention, don't really make any kind of sense in Hebrew. There is a reason for this, the Masoretes placed the vowel points to the word ADONAI [A_O_A] below the YHWH to remind the reader in Hebrew that this word/name was not to be pronounced, instead as a reading convention the reader is to intone the word 'Adonai,' which means "Lord". But the Germans, unaware of the convention, and taking what they were looking at AT FACE VALUE believed that these vowel points were the intended ones with this name. Thus they transliterated what they saw as Jahovah, although the first vowel, conventionally an a, could be read like the sound {schwa}, rather like the a- sound in the word about. This schwa in English is sometimes represented in transliteration by the letter e (though in grammar it looks like an upside down e). J is the German transliteration for the Yod in Hebrew, and V is the pronunciation of the Waw, pronounced Vav. Thus, you get the artificial construct in English of Je-ho-vah, based on the German error.
Of course, God's people know holding on doggedly to an error is better than admission to such stupidity, thus since 1931 the name of our favorite marginal group has been blessed with this anachronism. Scholars today agree that Yahweh is probably closer to the original (but after all who knows?) What seems certain is that the transliteration 'Jehovah' is flatly wrong, given the story you've just read.
Now as to Hallelujah, you have one clue as to why scholars believe that first vowel is closer to a, as in Yah-weh. This word from the Hebrew was translated into Latin as Alleluia, based on its appearance in Hebrew. In this case, though, there's no getting around that -a- vowel point in the word as, since its an abbreviation, contains those infamous vowel points but no evidence of substitution in the final vowel of the word as we find in the full name. Although observant readers notice this inconsistency in transliteration on the part of those translators opting for the name 'Jehovah' instead of 'Yahweh,' the WT discreetly dodges the issue by changing the subject to the issue of the fault resting upon those NOT using the name, EVEN IF ITS PLAINLY WRONG. According to this rationale, however, I think those small churches which presently use the name Yahweh in their names and worship would stand a better likelihood of finding divine favor among an ancient mountain/storm/warrior God partial to the Israelites and Palestinian real estate, and who is clearly fussy about getting his name pronounced correctly, than today's residual followers of a nineteenth century marginalized Christian apocalyptic group. But that's just me.
Euripides