You are right: In the Septuagint (LXX) you will find "Kyrios", where there is YHWH in the Hebrew bible. This is due to the fear of misusing the name of God. So the Jews (I don't know from when on) started saying "adonai" instead, which translates "the Lord". "
Adonai" itself appears in the bible as well (for instance 1. Kings 3,10) and always refers to God. Now to make sure that YHWH would always be pronounced "adonai", the Jews at one time (when?) started adding the vowels of "adonai" to the name of God YHWH.
Now you must know that the initial "a" is not a real A, but a so called "chatef patach". This is a very short A, related to the very short Eh called "Shwa". This is why in JEHOVA it's not an A, but an E (a short Eh actually by sound). The final I in "adonai" is actually not a vowel, but a consonant, so it does not appear here. So if you put the consonants YHWA together with the vowels of "adonai" (e-o-a), you get something like JEHOVA. I think it was some medieval monks who didn't understand this and thus produced JEHOVA.
This is not very exact, I must admit, so if you need more accurate information, I'll try to find out. I collected this from what I still had in mind from my studies 20 years ago. Sorry.
Andy ;—)