Jay-Hova is the play name for Jehovah which means one of the Old Testament names of Hebrew God. Jay-Z got the nickname back in 1993 when he was recording some of his first tracks. This indicates him as the God of rap. Shaun Carter is his actual name. 

The people in the studio wondered when they discovered that Jay-Z was improvising all his lyrics. They realized that his ability was nothing less than phenomenal. Thus they gave him the nickname J-Hova. 

However, he had never been comfortable being called by God. In his song Breathe Easy, he said in the lyrics that he is far from being a God, but he believes in working hard. He shortened his name to Hova as he thinks that it wasn’t modest to be called on the name of GOD.