I’ve learned that “Gaeth dyn a gwraig eu saethu” is correct (if a bit grim) but “Gaethon dyn a gwraig eu saethu” is not. If using “eu” (for nhw) then why “gaeth”?
Gaethon is only for the pronoun nhw. Gaeth is for e, hi and literally anything that isn’t a pronoun - including plurals. There probably isn’t really a reason for this beyond that just being how the language developed.
Edit: Gaethon nhw eu saethu nhw would work, for example, but it’s Gaeth dyn a gwraig eu saethu nhw - where in both instances the final nhw can be omitted.
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And similarly for mae vs. maen – Mae dynion / dyn a gwraig yn chwarae but Maen nhw’n chwarae.
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The simple answer is “it just is” - that’s how Welsh works: Don’t worry about it, it will become natural to you with practice… (That’s the standard SSiW answer, by the way)
We are a bit reluctant to make too much of plurals, for instance keeping the singular for multiple numbered objects (5 cath rather than 5 cathod): I’m not trying to draw any connection between the two things, just pointing out that there are some foibles in Welsh grammar that don’t match foibles in English or other grammars.
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The technical reason is that using the plural gaethon is redundant when the subject dyn a gwraig is clearly plural anyway - the language is being economical here, in much the same way as, for example, it uses a singular noun after numbers: dwy gath - if you’ve already kicked off with dwy which is obviously plural, then there’s no need to specify plural again with the noun itself.
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“dyn a gwraig” is surely singular though. There are two people but they are singular, one man and wife, so should be referred to as such. Having said that, using “dynion” still wouldn’t make you use “gaethon” so I was just being finicky. 
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No, as the subject of the verb they are semantically plural, aren’t they? There are two people there…
Correct. And finicky is fine. Finicky is fun. 
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I got your reply while in work so I’ve had my journey home to think about it (all 11 minutes). I was wrong, I think I understand now. In English when saying man and wife you would say “were” rather than “was”, “are” over “is”, “have” instead of “has”, etc. so yes, plural, I get it now.
I need to learn to think instead of shooting from the hip. 
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Yes, the difference between saying “the couple is in room 6” and “the man and wife are in room 6”! My dog chases birds, my dogs chase balls. But in Welsh my dogs are singular! Or not? Would I have to say, “My three dogs” before the verb stays singular?
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No they are not. They form a singular entity with regard to bod etc, that’s all.
Is it any different to saying in english that 'the team is doing well"? 0r “parliament is sitting”
(i might duck now in case the grammar police tell me off!)
I think so, it would be “the teams are doing well” and “the parliaments are sitting”, no?
In Welsh, common nouns are not marked for plural with numerals, e.g. “dau gi” and verbs are not marked for plural with common nouns, as you said, it would be “roedd y cŵn” - the dogs were
@henddraig, these two things are independent, but to confuse you, it would be “roedd y ddau gi” 
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I catch on. @Pete2 was using collective nouns which, by definition take singular verbs because they cover the whole group. I know one cannot herd cats. The closest I can think of would be, “My cat’s litter is thriving!” and I doubt if even that would be true, as one bossy-boots would be getting most milk and a poor little runt would be struggling! However, for cwn, “The pack is in full cry!”, but “Hounds are tired!” (Ouch, my background coming out! As a kid spent much time following a very inefficient Hunt, mainly on bikes not ponies, and it was not done to say ‘the’ hounds! As for calling them ‘dogs’, probably a hanging offence at the time!)
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Aye that was the idea.