"A Welsh play"
"Cymraeg" is the base word and it can mutate softly to become "Gymraeg".When using it as an adjective after a feminine noun it mutates softly (Like in this instance). Also note that "Cymraeg" as an adjective refers to thing related to the Welsh language. The adjective for things relating to Wales as a country the adjective is "Cymreig".
thank you, but one detail: "the Welsh languages" ? Welsh is one language right? or was that unintentional?