It's not just Welsh this happens in -- maybe it's a general thing with minority languages.
Me, in the tourist office in La Seu d'Urgell [in Catalan]: Excuse me, do you have a local map?
Tourist office employee [in Castilian/Spanish]: I'm sorry, sir, what was it you wanted?
Me [in Catalan]: I'm sorry, I don't speak Castilian. (I genuinely didn't, at the time.)
TOE [now in Catalan]: Oh, I'm sorry, what language do you speak?
Me [still in Catalan but a bit boggled]: Uh, Catalan...