It's a name I like but would never use due to the many available pronunciations.
I would try tah-lee-ah first and I can't even say why. It's the prettiest pr. by far to me and by putting the emphasis on the second syllable it doesn't roll off the tongue so I automatically want to put it on the first.
My guess is that tha-ly-ah is correct in English which I dislike (not sure, though).
I also think there are many correct pronunciations of this name so you can't really say that one pronunciation is incorrect, it's just a different language, which makes it harder to determine a pronunciation. Ancient Greek, modern Greek, English.
I visited Germany quite a few times and there is a book store chain called Thalia and it's correctly said tah-lee-ah in German. I believe in greek it's thal-ya or tha-lee-ah.
tah-lee-ah
tah-lee-ah
tha-lee-ah
tha-lee-ah
tah-ly-ah
tah-ly-ah
tha-ly-a
tha-ly-a
thal-ya
tahl-ya
etc.
It's just too complicated.
I would pick the Hebrew Talia instead which I also pr. tah-lee-ah. At least it eliminates some of the pronunciations.