From memory this is the situation:
There are both issues of textual variation and interpretation involved here.
The reason some translations have "Lord" and others have "Jesus" is because of differences among the early manuscripts and disagreement about which reading is original.
The NWT was originally based on the text of Westcott and Hort, which presumably had the reading "Lord".
The NWT replaces the word "Lord" with "Jehovah" 1) in those instances where it appears in a quotation from the OT that contains the divine name, 2) where there is an allusion to an OT passage that speaks about Jehovah, or 3) where the word is used in a phrase that includes the divine name in the OT. (Such as "angel of Jehovah" or "word of Jehovah")
This verse appears to fall into the second category, an allusion to an OT passage referring to Jehovah.
Many other versions have "Lord" in this verse, Since most Bible interpreters believe "Lord" can refer to either God or Jesus in the NT, there are differences of opinion over whether it is here talking about the "Lord God' or the "Lord Jesus". For many commentators the verses from Corinthians mentioned swing it in favour of Jesus.
Now the reason the ESV uses "Jesus" instead of "Lord" is because (if memory serves me right) the latest version of the Greet Text Nestle-Aland 28th edition changed the previous decision for "Lord" in favour of the reading "Jesus".
Nevertheless opinion remains divided about which reading is most likely original. Bible scholar Bruce Metzger ranked the verse D (on a scale A to D) as most difficult to determine the original reading, or where the reading carries the greatest uncertainty.
The 2013 edition of the NWT said it referred to the latest edition of the Greek text when preparing the revision. Apparently they did not follow the new edition in its reading of this text but stuck with the previous consensus "Lord" and changed it to "Jehovah" according to their practice, and in line with their argument that the original NT text contained the divine name in such passages.
Bible scholar George Howard also argued that the original NT used the divine name. The high number of textual variants involving "Lord", "God", "Jesus" and "Christ" was part of his argument. I think he cited Jude 5 as an example to make his point.
So Jehovah's Witnesses are not alone in believing that Jude 5 refers to Jehovah, or even that the divine name may have stood in the original text.