The practice of capitalizing LORD when it translates Yahweh (יהוה) and not capitalizing it (or rather, not all of it) when it translates Adonai (אדני) goes back at least to Luther.
This is from Luther’s Preface to his (German) translation of the Old Testament:
Whoever reads this Bible should also know that I have been careful to write the name of God which the Jews call “Tetragrammaton” in capital letters thus, LORD [HERR], and the other name which they call Adonai only half in capital letters thus, LOrd [HErr].29 For among all the names of God, these two alone are applied in the Scriptures to the real, true God; while the others are often ascribed to angels and saints. I have done this in order that readers can thereby draw the strong conclusion that Christ is true God.
Martin Luther, Luther’s Works, Vol. 35: Word and Sacrament I, ed. Jaroslav Jan Pelikan, Hilton C. Oswald, and Helmut T. Lehmann, vol. 35 (Philadelphia: Fortress Press, 1999), 248–249.
Does anyone know if this practice, which we still basically use today in English Bibles across the spectrum (from CEB to ESV), was invented by Luther? Or does it go back earlier?