Hard time making the "gli" sound in Italian?

keep trying.

it's just a sound apart which does not really exist in English -

you are right, it is not the same as in miLLIOn, or in biLLIArd, or in aLLUre

it is more like a G and an L melting into a Y, with the arched tongue sticking to the palate (which does not happen with the word "million").

don't depair. it is cold comfort, but I remind you that there are many more sounds in English which are almost impossible to emulate for Italians than the other way round: the "dark L" in "well", the "w", the ubiquitous "th" - or rather two of it: "than" and "thin", the gliding vowels in English like in fold, way, need etcetera.

It's really frustrating when you know how a sound should sound, but you can't reproduce it with your mouth. You can do it perfectly with your mind, but then when it comes to speak you can't do it. I'm Italian and that happens to me with some English sounds. It's difficult.

"Gli" is maybe the most difficult sound in Italian, the same sound only exists in Portuguese (LH, though it is not exactly the same). I can tell you that even some Italians mispronounce it. I have some friends who do, and pronounce it like "yi", so all I can tell you is don't worry too much if you can't pronounce it properly. Just keep training, maybe some day you will succeed.

Really, all you have to do is say lee. But, if you must pursue the exact pronunciation, you have to talk with an Italian speaker or just listen to it online(google translate is great for pronunciation)