You're confusing spelling (using the alphabet) with spelling (using hiragana/katakana). In Japanese, spelling IS the same as saying it. きゆ and きゅ are pronounce

You're confusing spelling (using the alphabet) with spelling (using hiragana/katakana). In Japanese, spelling IS the same as saying it. きゆ and きゅ are pronounced differently because they're spelled differently (notice the size of the ゆ). Same goes for んあ and な.