Allah, Yahweh, or Jehovah. Which one and why?
Allah is from Al-Ilah, which simply means "The God". It
isn't Muslim: Arabic-speaking Christians use it, and it was used to refer to the Supreme Being in Arabia centuries before Muhammad.
The Hebrew equivalent would be El, from Old Canaanite Ilu, which occasionally occurs in the Jewish scriptures, although it is usually replaced by the form Elohim.
Jehovah is a 16th century mistranscription of Yahweh. Although Jews stopped pronouncing that name early on, it was still pronounced by the Samaritans in Roman times, which is how we know the vowels to add to the written YHWH. Yahweh was originally the guardian angel of the Israelites, as it says in Deuteronomy 32:
When the Most High gave the nations their inheritance, when he divided mankind, he fixed the bounds of the peoples according to the number of gods. Yahweh's portion is his people, Jacob is his inheritance.
Yahweh was only equated to El in the days of Hosea, if not as late as Isiah. Whether you consider the Jews to be worshiping El as a result, or not, is a moot point.
You could say, with Thomas Aquinas, that everyone who claims to be worshiping the Supreme Being is doing so, or though some may have a better concept than others. I'd say the question is how far the concept can get distorted before it becomes a different one. A man on a train may think he knows where he's going, but if he got on the wrong train, he's not going to get there.