How was the pronounced in Ancient Greek?
The digraph ⟨th⟩ was first introduced in Latin to transliterate the letter theta ⟨Θ, θ⟩ in loans from Greek. Theta was pronounced as an aspirated stop /tʰ/ in Classical and early Koine Greek.
How do you pronounce Χ?
Xi (χ): This is the same sound as "ch" in "Bach", which does not sound like "ch" in "chair". The same sound occurs in the Scottish "Loch", as in "Loch Lomond", or the German "ach!".