Why do we refer to Jesus as Yeshua?
Because, Yeshua is the masculine form of the Hebrew word “salvation.” Yeshua (יֵשׁוּעַ) is the proper Hebrew name of Jesus. “Jesus” is derived from the Greek Iêsous (!Ihsou'"). Iêsous is a Greek transliteration of the Hebrew name Y’ho-shua or Joshua (יְהוֹשֻׁעַ) and means “the Lord is salvation.”
According to Mathew 1:21, Yeshua was named Salvation (NOT “the Lord is salvation”), because he would “save his people from their sins.” The “word-play” employed, i.e., between the name Yeshua and the Hebrew word for “save” exists only in Hebrew—it does not exist in Greek—and, it does not exist in English. You can “hear” it even if you don’t read or understand Hebrew. See the colored and bolded text in the transliteration below. (Hebrew reads from right to left)
וְקָרָאתָ אֶת־שְׁמוֹ יֵשׁוּעַ כִּי הוּא יוֹשִׁיעַ אֶת־עַמּוֹ מֵחַטֹּאתֵיהֶם׃
v'ka-ra-ta et sh'mo yeshua ki hu yo-shi-ah et amo me-avono-tey-hem.
In my opinion, the name Yeshua also implies the deity of the Messiah, since the text in Matthew says that “Yeshua will save … from sins”—a statement that can only be true if Yeshua is the very “form of God” (Phil 2:6-7). See also Exo 15:2; Psa 27:1; 37:39; 74:12; John 10:28; Acts 4:12.
Ironically, even though the name Jesus is the name by which Yeshua is known throughout the world—he was never called by that name in his own time.