It's pronounced almost like 'Thew', except the ll is a bit airier. If you put your tongue against your lip like you're going to say an 'l' sound, but then blow around the sides of your tongue instead, that's nearly it. But it is difficult for English speakers.
I love this name! I hope to use Llywelyn as a 2nd name for a boy, and shorten it to Llew, and actually use it as his first name (it's quite a habbit in my family)
I think this is a great name, but for non-Welsh speaking people it would be hard to pronounce. It isn't "Lew", but I can't describe how you pronounce it!