Technically non-Welsh names are not meant to mutate, but they sometimes do. I've certainly heard mynd i Firmingham, though I've never heard mynd i Uildford !
Certain foreign capitals are often mutated, but again it depends, and you don't have to. Mynd i Baris is heard and seen, similarly I've heard mynd i Dokyo.
The Welsh name for Bournemouth is Hafan Henoed.