Oh dear, I'm not going to be much help I'm afraid. As far as I'm aware, the Welsh subtitles are only available on S4C but the programmes on the Clic service cannot be downloaded (and as you've noticed, the iPlayer ones are the reverse - can be downloaded but don't have Welsh subtitles) and I haven't heard of any plans to change this.
Your best course of action might be to get in touch with S4C directly - whilst you may get a 'standard' reply, at least you'd be adding to the list of people interested in having the W-subtitles available on iPlayer which may or may not spur them into action. In the meantime, you might find the following link useful. It's a link to a discussion a couple of years old now (and to be honest, I don't understand some of the technical jargon), but it may still be relevant https://forums.squarepenguin.co.uk/thread-472.html