Why do you say Yeshua instead of Jesus?

Because Yeshua is His actual name, the one His mother and His friends called Him. It is Hebrew, a short form of Yehoshua, and it is built from the word yasha, to save. So the name is really a tiny sentence: God saves. That is exactly the reason the angel gives for it: call His name Yeshua, for He will save His people (Matthew 1:21). That wordplay only works in Hebrew.

Jesus is not wrong. It is a faithful English spelling of the Latin spelling of the Greek spelling of the Hebrew, three steps down the line. Nothing dishonest happened along the way; the meaning just went quiet. Saying Yeshua simply turns the meaning back on.