It's not like historical figures are always referred to by their proper names. How many English speakers talk about Cristóbal Colón or pronounce Julius Caesar as [ˈkae̯.sar].
But if people out there are willing to give their lives up for a person from a couple thousand years ago, you'd think they might know how to properly spell the person's name.
'I' used to be used as both a vowel and a consonant, similar to how we use C for both the 's' sound and the 'k' sound. So probably it would have been Iesus with an I. Probably sounded out the same as the guy who did my drywall.