I agree with Caleb, just to elaborate a little:
Languages don't always have the same sounds. When people who grew up with one language try to learn another, they often have problems with sounds that are used in the new language but not in their native language. For example, Chinese people trying to learn English often say "r" rather than "l", hence all the jokes about "Engrish". Native English speakers have trouble with the guttural "kh" sound found in other languages: we constantly struggle with whether to render it in English as "k" or "q" or "kh", etc.
Amusingly enough, there's an example of this in the Bible: Judges 12:6. In a war between two groups of people, the people on one side were able to tell that someone was a member of the other by asking them to say the word "shibboleth". If they couldn't pronounce the "sh" sound and said "sibboleth", then they knew they were one of the enemy. One can learn new sounds with sufficient time and effort, of course, but probably not when someone is standing with a sword to your throat demanding you say it NOW. This is probably not the ideal learning environment.
As Itpastorn notes, "Jesus" is not really very close to how Jesus said his own name. Nor is "Jehovah" all that close to the name of the father. It's probably just as well that we don't know how to pronounce God's name correctly: People would just use it as a swear word.