The letter "J" was created late in the Middle Ages. At a certain point, when a Latin word ended in "II", scribes started writing it as "IJ". As time went by, people started treating the "J" as a separate letter, a consonant with a "Y" sound, although in some languages it acquired a different sound, like the guttural Spanish jota sound or the French "ZH" sound, which English then transmuted to our modern "J" sound (and Irish converted to a "SH" sound, written with an "S").

The Latin alphabet was not derived directly from the Greek alphabet. First, the Etruscans borrowed the Greek alphabet and adapted it to their language, adjusting some letters. That's how, for example, the Greek leter "gamma", the third letter in the Greek alphabet, became the letter "C", the third letter in our alphabet.

For the Etruscans, the letters C, K, and Q each had a different sound, not all found in Greek. When the Romans later borrowed the Etruscan alphabet, they did not have all three of those Etruscan sounds, so for them C, K, and Q all acquired a "K" sound. For a while, they used each of them with only certain vowels, so that they had the combinations CE, CI, KO, KA, and QU (which is the reason we almost always use "Q" only with a "U" after it, even today), but there was apparently always a fair amount of inconsistency in how they spelled things.

Julius Caesar's first name was always written as Iulius in his time (""EE-OO-LEE-US" in my amateur phonetics), because there was no "J" at the time (later on, historians rewrote his name with a "J"), but the title Caesar could also be spelled "Kaesar", using the preferred (at times) "KA" letter combination. It was pronounced more or less as "KAY-ZAR", and the "K" there is the reason that the Germanic tribes ending up borrowing it as the title "Kaiser". The "C" in combinations like "CE" and "CI" later acquired a sibilant "S" sound in the Spanish and French versions of Latin (and in English as well, via French), or a "CH" sound in Italian. It's all a pretty fascinating history.

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I'm not a native (or entirely fluent) speaker, so be sure to wait for confirmations/corrections, especially for tattoos.