J got its start hanging around in I's posse, and the first J's were basically I's that some monk got a little crazy drawing.
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"Let's iazz this shit up a bit."
These long I, J-looking things would have still been pronounced as "I" for a while, but at some point in the Middle Ages, they took on that "J" sound we all know and love. Once that process began, all sorts of I words were given new, trendy J's for no real reason. The most notable of these hip new J-wearers was a guy called Jesus, previous known as Iesus (and Yeshua way before that).
"Nice work translating my name, guys. Good work all around."