My grandfather migrated to the US in 1914 from Goumenissa, Greece. He was Macedonian. His given name was BLAGOY on the ship's manifest and he always used Blagoy. I think it is possible that he substituted "y" for "j".
In Macedonia Blagoja (Благоја), Blagoj (Благој), Blazhe (Блаже), Blazho (Блажо) and similar names come from the Biblical "Blagoveshtenie" (Благовештение) which is the moment when Virgin Mary was told in a dream that she was going to give birth Jesus. Basically all of those names mean good or sweet news.