Sometimes, it is referred to as "Iotated U" because it is a so-called iotated vowel, pronounced in isolation as /ju/, like the pronunciation of ⟨u⟩ in "human". After a consonant, no distinct [j] sound is pronounced, but the consonant is softened. The exact pronunciation of the vowel sound of ⟨ю⟩ in Slavic languages depends also on the succeeding sound. Before a soft consonant, it is [ʉ], the close central rounded vowel, as in 'rude'. Before a hard consonant or at the end of a word, the result is a back vowel [u], as in "pool".
Apart from the form I-O, in early Slavonic manuscripts the letter appears also in a mirrored form O-I (Ꙕ, ꙕ).1 It is the latter form that is probably the original, precisely displaying the Greek combination omicron-iota (οι). At the time that the Greek alphabet was adapted to the Slavonic language giving rise to the Cyrillic alphabet, it denoted the close front rounded vowel /y/ in educated Greek speech. The close front rounded vowel does not appear in East Slavic. See above.
There was another way for it to lead to the modern form. By the analogy to several 'iotated' letters Ѥ, Ꙗ, Ѩ and Ѭ, the ancient ligature (or letter) Uk ⟨оѵ⟩/⟨оу⟩ possibly had its iotated form ⟨іоѵ⟩/⟨іоу⟩.
The iotated big Yus ⟨Ѭ⟩ merged itself to ⟨ю⟩ in East Slavic languages.
⟨Ю⟩ is the Voice Quality Symbol for tracheo-œsophageal speech (the symbol attempts to capture iconically the dual nature of the airstream).
Yefim Karskiy (1979) [First published 1928]. Славянская кирилловская палеография [The Slavic Cyrillic paleography] (in Russian) (2nd, facsimile ed.). Nauka. pp. 205–206. Славянская кирилловская палеография ↩