"I live in the country."
Translation:Dw i'n byw yng nghefn gwlad.
I also would expect y wlad. The w is definitely a consonant - like in the first line of Hen Wlad fy Nhadau, where (g)wlad has just one syllable.
/gwl/ and /gwr/ (and their mutations) are possible consonant combinations in Welsh - it's actually the vowel pronunciation of w that's unusual in this context.
Sometimes an acute accent gets used to indicate it's a vowel - like gẃraidd ("manly", two syllables) versus gwraidd ("root", one syllable): https://en.wikipedia.org/wiki/Welsh_orthography#Diacritics