What's the proper way to pronounce the "ll" in Spanish?

I was always taught in Spanish class, by both a Mexican and Argentinan teacher that it makes a "Y" sound. However, I was recently in the Yucatan and Panama and people were saying it with more of a "j"/"dz" sound. Vijahermosa, Vijanueva, Medejin, Como te jamas? I've never heard anyone say "janos" for llanos though or "jevar" for llevar. They seem to mostly do this with place names. I assumed it was just regional dialect, but I've NEVER heard MEXICANS say it that way before, that's why I was confused. Is it just a Yucatan thing?

"Y" sound is correct
"J"/"DZ" is correct
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What's the proper way to pronounce the "ll" in Spanish?
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