The other Bibles say LORD. Which is the same thing.
The Hebrew name "Jehovah" is generally translated in the Authorized Version (and the Revised Version has not departed from this rule) by the word LORD printed in small capitals, to distinguish it from the rendering of the Hebrew Adonai and the Greek Kurios , which are also rendered Lord, but printed in the usual type. The Hebrew word is translated "Jehovah" only in Exodus 6:3 ; Psalms 83:18 ; Isaiah 12:2 ; 26:4 , and in the compound names mentioned below.
http://www.biblestudytools.com/dictionary/jehovah/
But Jesus and Jehovah did say sanctify the name. So for so many other versions to replace it with a generic lord title makes no sense. And they aren't doing what those two instructed.