The letter þ is not called thorn by linguists without reason - it is the name of the letter in the Icelandic language. Every letter has its own name, like ð, which has the name eth, p, which has the name pyea, f, which has the name eff and j, which has the name yawth.

Above I've tried to write the names so that native English speakers will say them correctly - the Icelandic names are however as follows:
þ  |  þorn
ð  |  eð
p  |  pé
f  |  eff
j  |  joð

As is mentioned in the Icelandic Pronunciation node, the vowels follow a 'what you see is what you get' pattern - they almost always have the same pronunciation. Thus, the names of the vowels consist only of that vowel.

In elementary school, the children are told: "The vowels can all say their names on their own, but the consonants need some vowels to help them say their names".