It is a direct translation of the English term, using the Tagalog word for "witness" ("Saksi") and "Jehovah" ("Jehova").
You might also see other translations like:
* Mga Saksi ni Jehova (This is a more literal translation, using the plural form of "Saksi")
* Samahan ng mga Saksi ni Jehova (This translates to "Association of Jehovah's Witnesses")
However, "Saksi ni Jehova" is the most common and widely understood term.