God has many names. The core name He gives Himself in relation to Israel’s redemption and exodus, is the Tetragrammaton or “Four Letters”, the Hebrew characters of Yod Hah Vav and Hah, which looks like YHWH or YHVH when written using Latin letter equivelents.
We don’t know how the name was pronounced, though the best guess we have is “Yahweh”. But this is only a guess, not a certainty.
The consensus is that this name comes from the Hebrew expression that God spoke to Moses at the burning bush: Ehyeh Asher Ehyeh, “I AM that I AM”. The verb ehyeh means “to be” or “will be” in the first person, so “I am” or “I will be”. So it is thought that YHWH is based on a third person construction of ehyeh, so that YHWH means “You are” or “He is” or “The One that is”.
This is sometimes interpreted as God’s name meaning “the self-existent one”. Whatever the case, there is a connection between what God says to Moses “I am that I am” and God’s sacred name “YHWH”. And this name was considered so sacred that in the 2nd Temple period observant Jews became careful about writing and pronouncing God’s name, so as to avoid mis-using God’s name. So by Jesus’ time the name was usually only uttered out loud by the High Priest when he entered through the veil in the Temple into the Holy of Holies.
In the 1st century it had become the norm to use either Greek or Aramaic translations of the Hebrew Bible (Septuagint is the name for the Greek translation commonly used among Jews outside of Palestine, though there were several Greek translations in antiquity), while in Palestine Aramaic translations, Targums, were common. In Greek and Aramaic translations a word meaning “lord” was used instead of the sacred name, in Greek kyrios, the Targums use words like adonai, or special appreviations, or substitute words like memra (word) shekina (presence) or yaqara (glory).
Later Jewish tradition would compound this. Adonai was the most common substitute-word, but then words like ha-shem “the name” were used. Today, there can be several layers of substitution:
YHWH → Adonai → HaShem
Jewish practice sometimes involves other substitution words, Elokim instead of Elohim, for example. This is the same as when observant Jews write Gd/G-d/G_d instead of “God” or L-rd instead of “Lord”–it is done out of respect. The idea here is, especially in modern writing, it would be offensive to write or print out a text document with “God” or “Elohim” or some other name or term for God and then that paper be thrown away–as though one could throw away God’s name.
Anyway, that’s how in Christianity we came to use “The Lord”, it’s based on ancient Jewish practice that was already common in Jesus’ time to use “lord” (Adonai/Kyrios) instead of the Divine Name. That’s why the New Testament uses Kyrios where the Old Testament has YHWH, the New Testament is quoting the Septuagint and using established Jewish precedent. And this carried over into the languages where Christianity spread and the Bible was translated. So in English, “Lord” which is the closest translation English has to Adonai. We see the same basically everywhere Christianity spread, so:
French: Seigneur
Spanish: Señor
German: Herr
Latin: Dominus
Syriac: Mār
Amharic (Ethiopian): Abetu