I don't like that initial th sound. I'd pronounce it Thayl-ya or Thayl-ee-a.
I like Larry McMurtry's series of books, beginning with The Last Picture Show, set in the town of Thalia, Texas. There actually is a Thalia, Texas, but it's not the one in the books. In the movies, which were not as good as the books by a long shot, the name of the town has been changed to Anarene, maybe because of the real town of Thalia?
I think, therefore I judge.