Prax and Sis. Alvear have it right. It's HVHY, read right to left. There are no vowels in classical Hebrew. The vowels for the entire Hebrew bible were memorized. Vowel pointing was done much later. Yahweh is about as close as we can get, we think. Jesus wasn't called "Jesus" either. That was the Greek rendering of Yeshua. So, technically, people were baptized in the name of Yeshua not Jesus.
However, it's the same person, so whether we use the Greek rendering or the rendering in another language, it is still the name of the One who shed His blood for us!