I found that in Wycliffe’s Bible, Jesus Christ is spelt as "Jhesu Crist". Why was it spelt with ‘Jh’ instead of ‘J’?
This is part of the alteration of the pronunciation of the "consonantal I" from /j/¹ to /dʒ/.
OED has (under John):
Middle English spellings of the forename with initial Jh probably show a different origin [to the hn in John], being intended to supply a less ambiguous spelling for the affricate /dʒ/.
It may be that there was a brief period of pronunciation as /h/ such as in the Spanish Jesus which influenced the choice of h in the digraph, but as there are no sound recordings to go by, and little if any written evidence, that is pure speculation. (Written evidence might come in rhyming forms in poetry.)
It may be that h was chosen because it has an ascender on the left, which could be conveniently or aesthetically placed next to the long stroke of J.
It may be that Jh was chosen in opposition to the Hi employed where the /j/ sound was still intended, as in Hierusalem or Hieronymus.
It may be that h had already started to appear as a modifying letter as in cart/chart, and that letter was merely extended to similar sounds elsewhere.
Others may well be able to do more research into those hypotheses.
It is certainly the case that it is a convention for how the name rendered as Iesus in Latin should be pronounced in the vernacular. The glyphs for I and J in Blackletter/Gothic are identical (something like 𝕵) so 𝕵𝖍𝖊𝖘𝖚 would be pronounced differently to 𝕵𝖊𝖘𝖚. It would be interesting to find when J became truly consonantal and separate from I and the modifying h was dropped as unnecessary.
¹ Note that /j/ is the IPA for the sound of y in you, not the j in judge.