"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.
And as far as the Christian "God" is concerned, the same thing has happened. His name is "I Am" and he also has other names which are now not used. I find that they beautifully explain the attributes of "God" but are lost in return for a bland and generic "God"
Elohim = God -- Creator, Preserver, Keeper of His Covenant
Jehovah = LORD -- holiness (Truth revealer), righteousness, redemption
El-Shaddai = Almighty God -- Our all-sufficient supply, Bestower of power, gifts, blessings, and the one who makes us fruitful
Adonai = Lord - Our Sovereign God, Owner of all.
Jehovah-jireh = The LORD will provide - He will see our needs and meet them.
Jehovah-Rophe = Jehovah Heals - He will heal the bitter waters of this life.
Jehovah-Nissi = Jehovah Our Banner - We are brought together under Him and He brings victory.
*sigh* cultural appropriation to the max, people.