its original palatal approximant value in Latin.

Latin did not have a letter <j>. The letter <j> for consonantal <i> was first proposed in the mid-15th century and introduced in the 16th century. Modern editions of Latin texts (i.e. editions of the past two centuries or so) usually do not use <j> (there is also a tendency to abandon the equally unhistorical use of <v> for consonantal <u>, for example in the Oxford Latin Dictionary, but there is no consensus on this yet; different OCT or Teubner editors of classical Latin texts use different orthographies).

There is at least one such English word: hallelujah.

Another one is fjord, a Norwegian loanword. Regarding the pronunciation of hallelujah, note that the earliest citations in the OED (from 1535) have the spelling halleluya.