Why is "dydd" mutated here?
To show that it is "on Wednesday" rather than simply "Wednesday".
I believe it's short for "ar ddydd Mercher" (on Wednesday), where the "ar" (on) dropped out in casual speech but its associated mutation remains behind.
Compared to irish the whole mutation system in welsh is much more irregular, not to say chaotic, at least for a beginner...
What is "naddo" here?
"No", for answering a question in the simple past tense. ("Yes" would be "do" in this situation.)