I hadn’t thought about it before, but on reflection, I do too. And I wouldn’t be surprised if most people do.

Exaggerated a bit for effect, it would be more or less:

There = thehr

Their = thayr

They’re = thay-r

“There” is just simple and straightforward with a pure short ‘e’ sound and no particular stresses.

“Their” has more of a long ‘a’ than a short ‘e’ sound, and a bit of stress on the vowel sound.

“They’re” also has more of a long ‘a’ sound and it’s pronounced just a fraction longer than in “their”, and there’s a very slight pause between the vowel sound and the ‘r’.

Huh… learn something new every day.