Depends what you mean by ‘Welsh language word’. It seems to me that Denmarc is a Welsh word only in the sense that entrepreneur is an English one - it certainly is in all the English dictionaries, and is used by English speakers the world over, yet we know that actually it is French. Ditto spaghetti for Italian. My feeling with Denmarc and, even more obviously Hwngari, is that these are similarly borrowed terms into Welsh, from English. (The Hwngari example is a clincher, surely?). Whereas Yr Eidal Italy and Gwlad Pwyl Poland are much more obviously Welsh.
I mean, proper names are tricky anyway - and probably the best thing for Welsh learners, as usual, is to not lose sleep over this, and follow usage of the native speakers as and if you spot it. If Elin Fflur, in her lovely Ynys Môn Welsh, says o Baris or i Docio, then that’s good enough for me and would stand up in any court.