"Budda" as far as my limited knowledge goes, was and is called Budda, the Dalai Lama retains the name in all cultures, The Prophet Muhammad (pbuh) remains the same...
But Mr Jesus is a different story:
The name corresponds to the Greek spelling Iesous, from which, through the Latin Iesus, comes the English spelling Jesus. The Hebrew spelling Yeshua (ישוע) appears in some later books of the Hebrew Bible.
It means "Yahweh [the Lord] is Salvation." The English spelling of Yeshua is "Joshua." However, when translated from Hebrew into the Greek language, in which the New Testament was written, the name Yeshua becomes Iēsous. The English spelling for Iēsous is "Jesus."
Why not just keep his name as it was. My name doesn't change to something else in another language?
"Whoever calls on my name" and people are fervently praying "in the name of" the wrong name.
*sigh* cultural appropriation to the max people.