I'm pretty sure this is just a typesetting decision---more akin to using quotation marks.
For example, when the Gospels say what was written on the sign above Jesus' cross, they tend to typeset the message in all caps:
And the superscription of His accusation was written over, THE KING OF THE JEWS. Mk 15:26
And a superscription also was written over Him in letters of Greek, and Latin, and Hebrew, THIS IS THE KING OF THE JEWS. - Lk 23:38
And set up over His head His accusation written, THIS IS JESUS THE KING OF THE JEWS - Mt 27:37
And Pilate wrote a title, and put it on the cross. And the writing was JESUS OF NAZARETH THE KING OF THE JEWS. -Jn 19:19-20
On the other hand, an identical construction occurs only a few verses before the Lk passage for John:
But the angel said unto him, Fear not, Zacharias: for thy prayer is heard; and thy wife Elisabeth shall bear thee a son, and thou shalt call his name John. - Lk 1:13
One other thing to consider, since Jesus' name is Semitic---and in Mark's case its meaning has bearing on the story ("for he will save his people from their sins")---it may be because it was in a different language (though of course, still written in the Greek script). The difficulty here is that the KJV doesn't capitalize transliteration elsewhere.