It's simpler than that. The Koine Greek transliteration became established long before that particular Jesus was born. It was a common name in a region that belonged to various Greek-speaking empires for centuries, at least nominally. The transliteration was based on the pronunciation used at the time, with a masculine suffix to make the name less awkward in Greek.

And then people wrote the texts that would become the New Testament in Greek, because it was the dominant language around the Eastern Mediterranean.