The way I remember this is that 'dydd mercher' literally translates to 'day mercury' which is close to the Latin name for Wednesday.
As I learned french earlier I remember the Latin, and Cymraeg, through that: lundi, mardi, mercredi, etc. but I also remember ddyd Mercher as market day (thinking merchant) as that was the tradition in many places. Probably not entomologically right though. Just mnemonic.
Indeed they do.
dydd "day" is native, but the day names are borrowed from Latin:
- dydd Llun from dies Lunae "day of the Moon"
- dydd Mawrth from dies Martis "day of Mars"
- dydd Mercher from dies Mercurii "day of Mercury"
- dydd Iau from dies Iovis "day of Jupiter"
- dydd Gwener from dies Veneris "day of Venus"
- dydd Sadwrn from dies Saturni "day of Saturn"
- dydd Sul from dies Solis "day of the Sun"