Others have commented on the correctness of the name. I'll get to why you can hear both (and probably more) versions. In the Soviet Union (and in modern Russia still), the average knowledge of foreign languages was unfortunately very limited. Since the Russian alphabet is usually different from those used in foreign languages, a lot of people can't even read Latin letters. Those who can (probably this includes all people with higher education) will usually call the letters the same way they are called in the language they studied. Thus a person with an English "background" would call it /dʒeɪ/, with French /ʒi/, with German /jɔt/.
The only situation where I expect some standardisation would be teaching math in schools. However, to be honest, I do not remember using j in school math at all. It was always a, b, c or x, y, z or m, n. Note that the classical Latin alphabet doesn't contain the letter J at all, which may explain this fact. The letters i, j, k were introduced in programming (still in school), but since computer languages are all based on English, it was natural for our teacher to go for the English
names of the variables.
Remark: See comment by @user58697 below.
It's not always so though. To confirm what I am saying, my programming teacher in university obviously had a "German background". So she used to pronounce FALSE (a boolean constant) as the German falsch /falʃ/, which has the same meaning but of course a completely different pronunciation from English false.
For completeness, a small addition regarding the probable source of the two versions. Being a part of the Latin and thus also French and German alphabets (both nations dominating among foreign connections of the Russian aristocracy since the 18th century, with a relatively small addition of English and Dutch) it has however significantly different names in the two. Hence no "common" name could be borrowed into Russian. The same happened to G, H and Y, which also have kept two names each (the latter is called ипсилон in Russian rather than юпсилон in German, because we don't have a sound to represent the German Y=Ü; ю is pronounced /ju/). V and W have escaped this pattern: being called significantly different in German and French, they have both taken on the French names in Russian.