Neither the Romans nor the Greeks had the J and it was not in either the Aramaic or the Hebrew alphabet. It appears to have appeared sometime in the 16th Century.
Today the J with its special sound is firmly established in the English language but, interestingly, it is never used as the final letter in English words. That is, if we don’t count the Arabic Hajj, the Persian Taj, and the Hindi Raj.
The problem with the J is that it shares the same sound as the G. The spelling rule is. “Whenever a single G is followed by A, O, or U, it has the hard sound. Examples are, gap, game, got, gossip, gum, gutter. Whenever a single G is followed by the letters E, Y, or I, it has the soft J sound. Examples are, general, geology, ginger, giant, energy, astrology, gypsy.‘
The vast majority of words containing the G obey this rule. Unfortunately there are nearly forty commonly used words that break the rule. Examples are, get, target, finger, gift, give, begin. There is no way around the problem so the English student, both domestic and foreign, just has to learn and memorize these exceptions.