I've noticed a lot of posters saying that the letter "J" was not a part of the Hebrew language...so then, why were JEWS called such?

tl;dr version - Because sounds of words change over time, especially when converted into languages that may not have the same sounds in them. But I go into further depth below.

It's because in converting the Hebrew to Greek to Latin to English (and other languages mixed inbetween) over a LONG period of time, sounds change and can be replaced.

In Hebrew, Jew is Yehudi. Where the J would be, there is a Y. Now, notice I put Latin in the paragraph above in the chain of how the word got from Hebrew to English. Latin lacks the /y/ sound, so obviously they had to change it. For them it became Iudaei, and throughout times other European languages went from there, adding the /j/ for whatever reason suited them (likely to make it easier to pronounce).

Now, Y -> I was common for the Romans, which they did with Greek loanwords as well. Actually, when some Latin speaker made the letter Y that we now use, it was called "i graeca" which means Greek I as it was to somewhat represent a sound in Greek they lacked. This is still seen today in Spanish where Y is called "i griega" and doesn't really have much use other than to serve as their conjunction "and". Even then, Spanish's y doesn't have a distinct characteristic phonologically, hence why they still call it "Greek I". Actually, many languages using the Latin alphabet use Y primarily for loan words, and English is a bit of an exception in this regard since it's found much more in dailY usage (though it's rarity is still noted) than many others.

Still, English obtained the word from languages where the Y->I->J transformation already happened. Jews weren't exactly common on the English island when the language was being formed, and officially there were none in England for quite a while. They were known about, so Shakespeare (who lived in this period) still wrote about Jews in his "Merchant of Venice" (though wrote using unflattering stereotypes) and used the term Jew because that's just how the English adapted the term from where it came. It's not like they had Jews to ask them "how would you like us to call you".

We change terms all the time to fit our tongues. Taking more directly from Hebrew, we lose the /kh/ sound in transcribing the Hebrew term Moshiakh. It's like Ch in German's Nacht, if you are familiar with that language. Moshiakh, btw, is Messiah. Other languages do it too, for example the Japanese pronounce video "bideo" because they don't have a /v/ sound native to their language. In Nigeria, because of how their language is set up, asking a Yoruba (their native language) speaker to say bread may give you "buredi". Essentially, this over a long period of time is what happened to Yehudi to turn it into Jew.

But to get to the basic question....it is true that Hebrew does not have a /J/ sound in their alphabet. If a J is needed, they write their G (ג) and give it an apostrophe ('ג) to let people know. Because of how global English is, most learn to pronounce the letter not native to their tongue (which they do with W as well). But not having a J is actually irrelevant as to why we write it was a J. It's just we use a J in Jew because an in-between language Latin lacked Y, and it's rather funny that we have both letters that one or the other lacked.

The word "Jew" is an English word --

and until roughly 100 years ago it was "a bad word" -- used much in the way "the N word" is used for African Americans.

The appropriate word in English back then and in most languages today to refer to "Jewish" people was Hebrew.

NOTE - in any which case --

we speak ENGLISH

these are ENGLISH words -- the word Hebrew is also an English word

In Hebrew, the word for a Hebrew - like a Hebrew person - is actually Ivri

the word Hebrew - like the Hebrew language - is actually Ivrit

The closest word to Jew in Hebrew is Yehudi

(the proper English form for that is Judean - the word Judean was corrupted to Jew)

But Jews normally internally call ourselves "Bnei Yisroel"

(children of Israel)

Until the Early Middle Ages, the letter "I" was used for both the "I" and "J" sound. For example, Jesus was known as "Iesus" in Latin, "Iesous" in Ancient Greek, and "Yeshua" or "Yoshua" in Biblical Hebrew.

And "Jew" is derived from the Latin "Iudaeum", from Greek "Ioudaios", and ultimately from Hebrew "y'hudi", from the the Hebrew place name "Y'hudah" meaning 'Judah'. It became "juiu" in Old French, and later via Anglo-French "Ju" and "Jeu" in Middle English.