"Rhaid iddyn nhw fynd."
Translation:They must go.
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This is explained in the notes for this section. See https://www.duolingo.com/skill/cy/MustMustNot/tips-and-notes
Several prepositions in Welsh conjugate for person, and i is one of those. The form of i changes depending on the following pronoun - i mi, i ti, iddo fe, etc - and the full table for i is in the notes