Are we supposed to pray "in Yeshua's Name?"
According to Acts 2:38 we are!
Acts 2: 38. Shimon said to them, "Repent and be immersed each of you in the name of Master YHWH-Yeshua for the forgiveness of sins, that you may receive the gift of the Ruach haKodesh. (Aramaic English New Testament)
 Shimon was preaching from the steps of the Temple in Jerusalem. Just below him were hundreds of mikveh (immersion) baths. Both the steps he spoke from and the baths are visible today outside the Western Wall. In Peter's day baptism wasn't an act of conversion from one religion to another, but an act of purification from sin. A person repented of their sin, prayed, and then entered into the waters of the mikveh (baptism) to symbolize atonement.
 MarYah and Y'shua appear next to one another! Therefore, Keefa (Peter) is saying that the divine part of Y'shua and YHWH are one and the same; he is referring to Him in both ways.