Could you clear that for me: the word "dydd" as in "day" here is not obligatory, right? Is it because "Mercury morning" just doesn't make sense and everyone will understand that you mean "Wednesday morning"?)
Yep, you're right. It's almost like: "dydd Mercher = Wednesday; bore Mercher = Wednesmorning; prynhawn Mercher = Wednesafternoon; nos Fercher = Wendesnight". You can say "bore dydd Mercher" and "prynhawn dydd Mercher" too, but that's it.