It's only in the King James and the New King James, but why? Jesus' name is all caps:
And she shall bring forth a son, and thou shalt call his name JESUS: for he shall save his people from their sins.Matthew 1:21
And, behold, thou shalt conceive in thy womb, and bring forth a son, and shalt call his name JESUS. Luke 1:31
It's like this no where else in the Bible. The word in the Greek is the same as in other instances of the name. Why? and why only the KJV?