Okay, first the main question, which Old Timer Too did a very good job of answering very briefly. Your concern appears to be the change from the King James Version (KJV) to the New King James Version (NKJV). In brief, the NKJV adopts the same practice as the KJV - namely, translating the tetragrammaton as "Lord" in small caps. (The tetragrammaton is the four-lettered name of God in Hebrew.) However, *unlike* the KJV, the NKJV does this *consistently*. In other words, the tetragrammaton (when appearing alone) is *always* translated as "Lord" in the NKJV, but is *not* always translated in this manner in the KJV. If I remember correctly, the KJV fails to translate the tetragrammaton as "Lord" 4 times out of the several hundred times that word appears in the Old Testament. This is actually a *flaw* in the KJV - it demonstrates inconsistent translation practices.
The more important question - though not really the one you are asking - is, "why is the tetragrammaton translated as 'Lord' ". This is a Jewish tradition which displays a deep reverence for the name of God. Even before Jesus' time, the Septuagint (LXX) - a Greek translation of Hebrew scriptures - frequently used the phrase "the lord" in place of the tetragrammaton. Similarly, the gospels record Jesus using the same term to refer to God. It became a common Jewish practice, after vowels were invented for Hebrew, to insert the vowels for the phrase "the lord" (Hebrew "adonai") above the letters of the tetragrammaton. Thus, when reading, a reader would *see* the tetragrammaton, but would be reminded to *speak* the word for "the lord", "adonai".
This practice caused Christian translators to mistakenly combine these two words and form the medieval name "Jehovah", (Latin Iehouah, which was anglicized to Jehovah). This is almost certainly *not* a proper transliteration of the tetragrammaton, as the "J" sound is considered a very unlikely pronunciation. Normally, the tetragrammaton is transliterated into English as "Yahweh" or, less commonly, "Yahveh", but the true pronunciation (because of the ancient Hebrew lack of vowels) remains conjectural.
SO, translating the tetragrammaton as "the lord" or (in modern English) "Lord" in small caps is a tradition dating back to *before Jesus*. *This* is why most modern English translations adopt this practice - because it is the tradition practiced not only by the original KJV, but by nearly all English translations before or since, as well, and *further*, most translations in most languages all the way back to early Greek translations before the time of Christ!
To the best of my knowledge, only the Jerusalem Bible and the New Jerusalem Bible consistently transliterate the tetragrammaton (using "Yahweh") throughout. Nearly all other modern translations consistently use the traditional "Lord" (small caps). The New World Translation uses "Jehovah", but replaces the phrase "the lord" with "Jehovah" in many locations (in the New Testament) in which there are no original manuscripts using the word "Jehovah". However, the reasons for these replacements are thoroughly documented in the appendices of that bible.
Further considerations about using "Lord" as a translation for the tetragrammaton can be found here
http://jimpettis.com/bibles/lord.htm
and here
http://www.bible-reviews.com/accuracytetragrammaton.html
I hope this helps.
Jim