The practice of substituting YHWH for “LORD” was begun by the Jews hundreds of years before Christ. The Jews did not want to pronounce or mispronounce the name of YHWH out of reverence, and also lest they violated the commandment that says, "You shall not take the name of the Lord your God in vain, for the Lord will not leave him unpunished who takes His name in vain." (Exodus 20:7).
So, the Jews began substituting God's name (in Hebrew, "Lord") which is now Adonai. This practice is followed today in English translations of the Bible to show reverence for the Holy Name. Finally, since the early Hebrew text did not contain vowels but only consonants, it is not known exactly how to pronounce God's name. So, LORD is substituted for YHWH.
In the Hebrew Old Testament, the word for “God” is Elohim. God is also called “Lord,” which is a translation of the Hebrew Adonai. However, the special name of God that is given in Exodus 3:14 is YHWH, which is "I AM."
Exodus 3:14, “And God said to Moses, “I AM WHO I AM”; and He said, “Thus you shall say to the sons of Israel, ‘I AM has sent me to you.’”
The four letters YHWH are called the tetragrammaton and is sometimes written/pronounced Yahweh--a better pronunciation than Jehovah since there is no “j” in Hebrew. But, we cannot be sure what the proper pronunciation really is.