I always thought it was Tal-yuh, with the H being silent.
That was my first thought but then I realized that I thought that because of the actress Talia Shire from Rocky. Then I realized she spells it Talia so I'm thinking maybe Thal--yuh or Thal-lee-a. Sorry that was no help but maybe the lesson is don't use it. It would be annoying to always have to corrent pronounciation.
ETA: There is a theatre in my hometown named after a famous Thalia so I've always heard it said on radio ads, etc., so never really had to think about how to pronounce it.
Tall-yuh with a long "a" or Tal-yuh with a short "a." Always with a silent "h." I have never heard it pronounced with the "th" sound, or as three syllables.
Re: pronounciation of Thalia.
Same
ETA: There is a theatre in my hometown named after a famous Thalia so I've always heard it said on radio ads, etc., so never really had to think about how to pronounce it.
Ta-lee-ah