If you translate 'nos dydd iau' it will be 'Thursday day night' so no we drop the dydd
See the course notes.
- prynhawn - an afternoon
- prynhawn dydd Iau - Thursday afternoon
- nos - night (also used as 'evening' with names of days)
- nos Iau - Thursday evening/night (no dydd)
So dydd and nos relate to whether there is still daylight? Prynhawn dydd iau seems to be correct even if there is no "day" in afternoon