The /θ/ sound is spelled with <th>. The /j/ sound is spelled with <y>.
This is a contrast between a voiceless dental and alveolar fricative and a voiced palatal semivowel, fairly close together in the mouth. The contrast is not a problem, though learners whose first language lacks a /θ/ may have difficulty.
thank yank thanked yanked thanking yanking thanks yanks thaw yaw thawed yawed thawing yawing thaws yaws thaw your thaws yours thorn yawn thorns yawns