You're hearing it right. In South Wales, u is said the same as i. In North Wales it's a very slightly different sound, like the 'e' in 'roses' - although many English speakers don't notice any difference from the Southern pronunciation.
Here's a link for the Welsh alphabet. Welsh spelling is very consistent, so once you know it, it's easy: http://www.madog.org/dysgwyr/gramadeg/gramadeg1.html