This has probably already been answered by now, but it comes from the Hebrew tradition of using only the consonants in the name of "Jehovah" (Jhwh, pronounced "Yah-wey") whenever writing God's name in the Scriptures. It signifies such a reverence for God's name that we are not even worthy to write the name out in full.
So does the name “Yahwey” come from the abbreviation? So Yahwey is sort of a nickname for God, born out of respect for not using the whole name “Jehovah”?