Do any Welsh words that start with a "th" sound? If not (as I believe)

Welsh has "Th" as a separate consonant, pronounced as "th" in "think.

It also has "Dd" pronounced as "th" in "them"

Welsh has several words starting with "Th" borrowed from English, e.g. thermomedr. It also (I had to look this up) has "thus" meaning frankincense!

It doesn't seem to have many starting with "Dd" though. I will look at home tonight.

Rod