Here is the text of Bishop Challoner's note found at Exodus 6:3 of the Douay-Rheims (Project Gutenberg #1609) :
My name Adonai. . .The name, which is in the Hebrew text, is that most proper name of God, which signifieth his eternal, self-existent being, Ex. 3.14, which the Jews out of reverence never pronounce; but, instead of it, whenever it occurs in the Bible, they read Adonai, which signifies the Lord; and, therefore, they put the points or vowels, which belong to the name Adonai, to the four letters of that other ineffable name Jod, He, Vau, He. Hence some moderns have framed the name Jehovah, unknown to all the ancients, whether Jews or Christians; for the true pronunciation of the name, which is in the Hebrew text, by long disuse, is now quite lost.