The grammar is irrelevant.
Officially they are "Jehovah's Witnesses" as in "The Christian Congregation of Jehovah's Witnesses" or "The Governing Body of Jehovah's Witnesses." It you are speaking of just one person he is a "Jehovah's Witness" or "One of Jehovah's Witnesses."
Anybody using "Jehovah Witness" in any context is speaking incorrectly, which is rather humorous when they use it themselves. You'd think one should be able to get the name of of his own religion right.