A surprisingly common mistake, in my experience.
Of course, it's only English-speakers who make this mistake, since we conventionally combine the two letters "t" and "h" to write the sound "th" as in thigh. (Actually, "th" is two sounds in English: "th" as in thigh and "th" as in then. The first is voiceless, the second voiced, and linguistically speaking, both are fricatives.) Anyway, English speakers see the "th" in Thailand and if they don't know any better, they assume they should be pronounce the word "Thighland". But that's wrong; it should be pronounced Tailand.
The reason why Thailand is spelled with an "h" has to do with the difficulty of spelling words from other languages.
Thai has more sounds than English does, including two "t" sounds, one aspirated and one unaspirated. The aspirated one is like an English "t" at the beginning of a word like top; aspiration refers to the fact that when we pronounce this sound, it's accompanied by a puff of air. If instead you put a sound like "s" in front of this "t" - stop - there is significantly less aspiration to the "t", often none at all. That's a facsimile of the unaspirated Thai "t". Although we have these two different "t" sounds in English, I could use them interchangeably; I might sound odd, but you'd understand me. The two sounds do not cause a divergence of meaning in English, but in Thai the sound is significant and can result in words with distinctly different meanings.
The most common method of transliterating Thai into English utilizes the convention that "th" signifies an aspirated "t", while "t" is used for an unaspirated "t".
The same is true of "p" and "k". There are aspirated and unaspirated "p"s and "k"s in Thai as well, so when you see a Thai word with a "ph", know that it's not pronounced like an English "f", but rather like an aspirated "p" - pot - while "p" transliterates from Thai into English as an unaspirated "p" - spot. (Which means that it's not really embarrassing to tell your mom about your visit to the island of Phuket after all, since it's pronounced Puket.)
The English sound "th" is difficult for many non-English speakers to pronounce because it's relatively rare, globally speaking; Thai certainly doesn't have this sound. Conversely, pronouncing those unaspirated "t"s and "p"s and "k"s is hard for English speakers, because we're not used to marking it as a meaningful difference.