I'm a little confused about the use of capitals for named days. I think the word day (Dydd) always needs one, but sometimes the identifying part has one and sometimes it doesn't. Is it always optional? Or is it some days have one and some don't?
It's the other way around, I think - "dydd Iau" should have a small 'd' in the middle of a sentence, but always a big 'I'.
I understand part of my confusion now. I was sure the Welsh for Thursday was "Dydd lau" (starting with lower case L) - I didn't notice it was actual "Dydd Iao" (starting with upper case i)
Yes, it's capital "iau" in Welsh - compare with English "Jove" or French "jeudi" which have j-
There are quite a few cases where you see a "J" in another language being an "I" in Welsh; "Iau" like you said, my name being another example, or "Ionawr" for January.