It is pronounced as it is spelt! The course voice pronounces this correctly in this sentence. To hear the word in isolation, go to www.ivona.com, then type in (with the commas):
nhw, nhw, nhw, nhw, nhw.
and choose 'Welsh, Geraint' or 'Welsh, Gwyneth' to speak it for you.
You can hear a real voice recording of it at www.gweiadur.com (you will need to register for free to use it, and it is a very useful dictionary anyway), search for 'nhw' and press the speaker icon next to the definition - the word it pronounces is nhw, not the alternative words next to it..