For the biblical Jesus, the situation is even worse. His name was probably originally יֵשׁוּעַ, and should therefore have been Yeshua to us users of the modern day Latin alphabet. But instead his name was adapted to Greek linguistic conventions as Ἰησοῦς (Iēsoûs), and from there transliterated into Jesus.
And then people wrote the texts that would become the New Testament in Greek, because it was the dominant language around the Eastern Mediterranean.
Egyptian mythology would like a word with you. Specially the part where Isis created a snake to bite Ra so that she could learn his true name. But yea, adapting names to foreign languages was a normal thing until recently.
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1. Or maybe the Vetus Latina, I can’t claim enough authority over early Biblical translations to say with any certainty. And perhaps some other non-Western translation would have priority in making the Joshua/Jesus distinction.
2. My grand strategy for making these sorts of cross-lingual comparisons is to use the “other projects” links from Wikipedia which is also a great way of getting more accurate translations for somewhat niche terminology than machine translation or dictionaries can offer.