Tried Google but no solid answer. I am actually Chinese, though didn't grow up in China, have actually never thought of this question until just now. It sounds a bit like the word Confused, which I'm sure it's not related lol.
In Chinese his name is Kong Zi. His beliefs and teachings we say 'Yu Jia' basically Scholar Family, I always thought it was 'Yu Ke' which means 'Scholar Teaching'. But still I don't see where the term Confucian come from. I feel like as a Chinese I should know this. Thanks!
Confucius stems from the 16th century latinization of the Chinese honorific "孔夫子/Kong Fu Zi"
Source: 'Catholicism and Confucianism: An intercultural and interreligious dialogue' by Peter Phan
edit: also OP just a bit of a correction, in mandarin the philosophical school of Confucianism is "Ru Jia" not "Yu Jia". It doesn't mean "scholar" per se, it's just that scholars became almost synonymous with Confucians after a while. "Ru Jia" translates literally to something like - the family of softness/mediation.
But many of the other schools survived too in one way or another. Taoist scholars would be said to belong to "Tao Jia" - the family of the way. Legalist scholars to belong to "Fa Jia" - the family of the law, etc.