Yes there is. Inbhir Theòrsa (Thurso) - at least to some mostly serious etymologists is derived from Thor. Aaaanyway...
Old Gaelic did have /θ/ and /ð/ but developed those into /h/ and /ɣ/.
It all depends on how "Gaelic" you want to be. Historically all words borrowed into Gaelic with and offending fricative (th, h, v, wh, j...) sound (offending in the sense that Gaelic dislikes them at the start of a word) were turned into their nearest de-lenited counterparts (cf Norse hallur > talla, vervain > bearbhain...).
Which in the case of your name would mean Thorfinn > Torfinn. And if you want to complete the process, adjust the rf group to > Toirfinn pronounced /tɔrfɪNʲ/.
