The word “Jesu” frequently appears in sacred English texts as a poetic form of the name of Christ. It comes from the vocative declension of the name Iēsus in Latin, which was taken early into the Middle English language around 1150. While it is true that originally, the name began with a [j] or y sound, around the time it entered our language, it was already being pronounced with a [ʤ] sound, or at least a [ʒ]. In English, the name has two main pronunciations: [ˈʤiːzju] (GEE-zyoo) and [ˈʤiːzu] (GEE-zoo).
Sometime in the twentieth century, singers and choir directors in the United States started to insist on a different pronunciation, [ˈjeɪzu] (as in “Yay! Zoo!”) and [ˈjɛsu] (as in “Yes, Sue!”), either opting for a z or s sound on the middle consonant and opting for a y sound at the start of the word. This came likely from a desire to conform to the 1903 motu proprio from the Roman Catholic Church to pronounce Latin as if it is Italian, assuming that “Jesu” was a distinctly Latin word, and pronouncing it accordingly.
What we are left with then is that most singers and choirs in the United States pronounce the word with a y sound, while most singers and choirs in the United Kingdom pronounce it with a gee sound. The UK retains many of her memories of what is sometimes called “Old-Style Latin,” where Latin words used in English sentences are pronounced like English words.
Far more interesting to me is the confusion that arises among singers and choir directors when arguing this minor question. The question was raised around 2005 on the ChoralNet forum, the forum of the American Choral Directors Association. Timothy Carney polled choir directors on the forum and shared the responses anonymously to present the current attitudes on the question.
Some responses assert the Y option, citing preference or lack of evidence otherwise (“I don’t know how that ‘gee-zu’ pronunciation started; probably way back when Anglicans were trying to purge themselves of Latin. … Obviously, my response is not based on heavy-duty scholarly research but just on personal preference, so it probably isn’t worth much.”), nihilistic assumptions about scholarship (“If you attempt to use historical pronunciations in any language, you’re at the mercy of whichever scholar is directing you this time.”), and assumptions that there is one standard Latin (“The text is Latin, you say Yay-zoo or -soo. Pretty easy, huh!”).
Some responses assert the J option, citing analogy (“My reasoning is that to use Yay-su in an otherwise English-language anthem would be like saying Par-ree instead of Par-iss (Paris) in an English-language sentence. The proper French pronunciation might be Par-ree, but when we are speaking in English, we would use the English word Paris.”), personal preference (“My instructors all shared the same opinion … my opinion is that never EVER pronounce that word as “Yay, Sue!” in an English text. Sue’s a great gal and all, but she has no place in church music. Probably no help, but it is one my pet peeves, so I had to reply.”), and personal authority (“having been a Choirmaster at an Anglican Cathedral, I would say that the English Choral tradition is to pronounce it “Gee-zoo” when the word is used with other English words.”).
The case for the Y option is weak; the J-option is the English word’s pronunciation. Assuming Latin is a foreign language instead of a language once pronounced according to the whims of the speaker created the y-option sometime in the twentieth century in the United States. Granted, British choirs do pronounce it with a y sound in a Latin piece, since they now are quite regularly using Anglo-Roman Latin pronunciation, but only when singing in Latin. If the text is English, the word is English. It is older indeed than many words in our language. It isn’t a British thing, but an English-language thing.
I tend to opt for [ˈʤiːzju] as my default pronunciation until told otherwise by the director. Of course, this is a prescriptivist attitude, which is dangerous from a linguistic standpoint, but having now two equally represented pronunciations of a word in practice, I figure I should default to the more traditional one. Unlike the spoken word, choirs must match their pronunciations.