Here in Indonesia students say "dat" instead of that or "dare" instead of there and so on. It seems the "TH" sound is beyond their grasp so to speak. I use the finger method as I like to call it.
While holding their index finger to their mouths in the Shhhhh posture I ask them to touch their finger with the tip of their tongues and then try to make the dreaded "TH" sound. it actually works, but it seems they can't duplicate the sound without the "finger" in front of their mouths.