When you string a series of Welsh nouns together (in this case "baner" and "Cymru"), all but the last gets an invisible, implicit "the ____ of" around it.
So (say) "lliwiau baner Cymru" would translate word-for-word as "colours flag Wales". But all but the last (i.e. all but "Cymru") gets an invisible "the ___ of" so it becomes "(the)colours(of) (the)flag(of) Wales".
(Or, to get more technical: when you string a series of nouns together, all but the first becomes genitive, and all but the last becomes definite. Without the need for articles/prepositions/etc.)