The dh at the end of Riyadh is pronounced the same way as th in that, this, etc. - a voiced sound as opposed to th in thing, think, etc. This sound's pronunciation is indicated in English dictionaries by the symbol/letter � (which may not come out right once posted on this site) from Icelandic, a language better placed than English in that it actually has letters to represent all its sounds. In English examples abound where different sounds are represented by the same letter (you basically need to memorise the pronunciation). Often when non-English language names are transliterated into the roman alphabet the virtually non-existent phonetics of English cause a problem. A familiar example arose when Koreans tried this and now lots of people call their company "Hi, un-die" whereas it has been explained to me it is, in Korean, nearer Hyundeh where y is as in yes and eh is as e in bed (definitely not ay as in day or ai in daily).