He isn't related to the Joestars, the whole "first Jojo" thing is mainly a joke on the fact that, in Hebrew, his full name was Yeshua Ben Yosef, which when translated directly to English would be Joshua son of Joseph. (The name Jesus comes from translating/transliterating Yeshua into Greek, then transliterating the Greek form into Latin, then into more modern languages descended from Latin)
He does actually appear in Steel Ball Run, where he is actually fairly important to the plot. Really.

- And so remember, my friends and comrades: if you ever are licked on one cheek, you shall show the other cheek to be licked.
- C'm'on, J, don't say stuff like that, you're freaking me out, man.