Rattigan350:
Everyone says 'One of Jehovah's Witnesses' because it sounds right.
This suggests you live in a JW bubble.
NotFormer:
While writing this the thought came to me about when that self-descriptor first came into being: was it part of the initial name change by Rutherford, or was it a later development?
It was Rutherford’s intention that JWs be seen as ‘witnesses of Jehovah’ (I.e., ‘Jehovah’s witnesses’) rather than simply naming his group in the typical sense. The name change was primarily to distinguish his group of Bible Students from the various Bible Students groups that had separated from the Watch Tower Society’s control after 1917. The ‘w’ was not capitalised in JW literature until the 1970s (except in headings). Hence the term ‘one of Jehovah’s witnesses’ is jargon intended to convey that they ‘really’ are ‘witnesses of Jehovah’ (in an outdated legalistic sense tied to Rutherford’s background as a lawyer).
Outside of that superstitious usage, it is correct and common for the term ‘Jehovah’s Witness’ to function as a singular noun in reference to an individual member or as an adjectival modifier in reference to the denomination.
‘Jehovah’s Witnesses’ is the plural form for a group of members, and saying ‘they’re Jehovah’s Witnesses’ is analogous to ‘they’re Catholics’. Somewhat ambiguously (likely intentionally), the singular form of the denomination name is also ‘Jehovah’s Witnesses’, and saying ‘they’re members of Jehovah’s Witnesses’ is analogous to saying ‘they’re members of the Catholic Church’.
The ambiguity arising from the same term used for both the denomination and its members occasionally results in tedious disputes about incorrectly assumed ‘correct grammar’ (but ignores correct verb-noun agreement and the function of compound proper nouns).