I could be wrong, but I believe that the (Ancient) Egyptians didn't mesh the 'th' into one letter (I don't know the correct literary term, but I guess it's a "lisp" in English, French, and Spanish).Therefore, I believe the pronunciation of Nephthys is NEF-tis.
I think this name is pronounced NEF-this. At least, that's how I've heard people on the History Channel and Discovery Channel and National Geopgraphic Channel pronounce it, but I can't be entirely sure. NEF-this is also how you pronounce the name of the asteroid--287 Nephthys--according to Wikipedia.