Here is MWE: I have MacOS with Monterey and TeXLive 2020
\documentclass[a4paper, 10pt ]{article}
\usepackage[no-math]{fontspec}
\setmainfont{Lucida Grande}
\newfontfamily{\He}{Corsiva Hebrew}
\usepackage{bidi}
\begin{document}
\RL{יהוה}
\end{document}
(if it doesn't show, see
\Heanywhere your log file is presumably showing warnings that the Lucida font does not have those characters – David Carlisle Dec 09 '21 at 15:16