Because it is being used as an adverb - just another of the many things causing a soft mutation.

Many welsh verbs/verb-nouns are followed by prepositions to convey particular meanings. Some examples with mynd:

• mynd - going, to go
• mynd i rywle - to go (to) somewhere
• mynd at rywun - to go to someone
• mynd i wneud rhywbeth - going to do something
• mynd â rhywbeth/rhywun (i rywle) - taking something/someone (to somewhere)
• mynd o - to go from
• mynd i nofio - going/to go swimming