In Semitic languages (Hebrew, Aramaic, Arabic), short vowels are not written. Hebrew later developed short vowel signs (niqqudim) and so did Arabic (tashkin), but these were not there in the beginning.
The name of God given in the Bible is יהוה (YHVH or YHWH). In ancient Israel, this name was only spoken once a year, on Yom Kippur, when the High Priest would take the blood of the sacrifice and sprinkle it upon the Mercy Seat of the Ark of the Covenant. Once the temple was destroyed, the correct pronunciation of this name was lost.
However, the name occurs 6,828 times in the Old Testament. If you don't speak the name, what do you do when you are reciting the Bible and you come across it? The answer is simple: use another name. The Jews replaced YHWH with אֲדֹנָי "Adonai" (Literally "My Lords"; the use of the plural is to show respect). When they came to the name of God in the Bible, they would say "Adonai" instead of YHWH. (Because of this, Adonai has now become holy and Jews will refer to God as "Hashem" (The Name) outside of prayer).
When the vowel marks were invented, the scribes put the vowel marks of "Adonai" on the letters YHWH to remind the reader to say "Adonai" instead of pronouncing the Divine Name. However, early Christian translators of the Torah (the first 5 books of the Old Testament) did not know this, so they wrote the Name as it would have been pronounced with those vowels - "Yahowah" or in Latin, IEHOVAH, This was taken into German as Jehovah, as the Germans pronounce the lettter 'j' as 'y'. This became Anglicised to Jehovah.
Because the prohibitions against saying God's name are Jewish prohibitions, the Jehovah's Witnesses, who are not Jewish, say that we should use God's name, and replace every instance of the Tetragrammaton with the word "Jehovah" in their Bible translation. When confronted with the inaccuracy of their translation, they state that Jesus' name wasn't actually Jesus - it was Yeshua. We use the Latinized form of Yeshua, they say, so why shouldn't we use the Latinized form of YHWH?
(Interestingly, the Jehovah's Witnesses, who claim that they use God's name because they are not Jewish and the prohibition was a Jewish one, use the Jewish calendar to determine the date of their once yearly observance of the Lord's Supper).