If you study Welsh you'll find that 'ph' and 'th' are still regarded as single characters in their own right, like in the original Greek. As are 'll' and 'rh' for example. So 'Rhyl' is a three-letter word, not four letters, and you would look it up under 'Rh' in the dictionary, not under 'R'.

'Th' in Welsh is only ever 'soft' (as in 'think') rather than as in 'this'.

Have you noticed as well that a lot of people will naturally say 'dd' rather than 'th' when it's in the middle of a word - for example 'brudder' not 'brother'.