Why didn't the KJV translators transliterate יהוה? Did the translators of the KJV make any comments or notes that explained the basis for their decision not to transliterate each occurrence of the Tetragrammaton into English, rather than translating it as all-caps "LORD"?
I couldn't find anywhere that any KJV translators spoke about their decision to translate the Tetragrammaton as "Lord." Not the preface, not the marginal notes, and I couldn't find any quotes from any of them on it (I wasn't too thorough in my search on the last one, so they could be out there somewhere).

The KJV draws significantly from Tyndale's earlier translation, and he too used "LORD" instead of a transliteration (except in some instances, where it was "Jehovah," as it would later be in a few instances in the KJV). He did not, as far as I could see, explain why he made this choice.

In the Septuagint, the Tetragrammaton becomes "kyrios," which means "lord" or "sir" or "master." This seems to be influenced by Jews' aversion to pronouncing the Divine Name out of deference to the Third Commandment. In synagogues today and dating back to ancient times, Jews use "Adonai," meaning "lord," which itself became "kyrios" in the Septuagint. In the New Testament, when quoting Old Testament verses which include the Tetragrammaton, it is "kyrios," following the Septuagint.

The Latin Vulgate follows the Jewish practice of replacing the Divine Name with "Adonai." In Wycliffe's English Bible, preceding Tyndale and the KJV, he rendered the Tetragrammaton "Adonai."

Around the same time as Tyndale, Luther translated the Bible into German and rendered the Tetragrammaton "Herr," meaning "lord" or "sir."

So although we don't have direct evidence of the translators' reasons via quotations, we do know that throughout history, and even in the New Testament itself, there has been conflation between the Tetragrammaton and the word "lord." At the very least, the KJV was a part of that historical trend.