I do not speak Georgian so I can nothing about that, but in Russian there is no letter "J" and so the name "Josef" is a anglicized version of "Iosef", and "Iosef" is pronounced "Yosef". This "Y" sound is represented by the Russian/Cyrillic letter that looks like a backwards "N" with an accent mark over it.
Look here please:
http://www.friends-partners.org/oldfrie ... habet.html
The "Y" sound is represented by the eleventh letter. Note the little accent mark over it.
The English/American sound of "J" as in "Joseph" would be represented by a combination of two Russian/Cyrillic letter, the "D" and the "Zhe", being the fifth and eighth letters in the chart respectively.
The combination of "P" and "H" to represent the sound "F" is not used in Russian, the "F" is used as such.
To complicate matters, the Latin letter "I" is used to represent two different sounds, both the "Y" sound under discussion and also the long "E" sound as in "see". And of course, there are two versions of most Russian vowels, one of each pair have a "built-in" "Y" sound at the beginning and the other member of the pair without it. But that "Y" sound is also available separately, thanks to the letter that also begins the name "Iosef".
As far as I can determine, such orthographical problems are pretty nearly inescapable when the alphabet of one language is used to represent sounds of a different language.
Be diligent in your studies, as there will be quiz later.