Break text into letters (regular Unicode graphemes+language specific digraphs)
For starter, you do not need to create you digraphs list each time the function is called: they won't change, so better create them once as a global constant. You also forgot to add capitalized versions in the list so that 'HELLO' is split into ['H', 'E', 'LL', 'O'] instead of the current ['H', 'E', 'L', 'L', 'O'].

Second, your linear research in the digraphs list can be time consuming when all you want to know is if characters at position i-1 (if any) and i forms a digraph present in your list. I’d rather write it as yield 0 if s[i-1:i+1] in digraphs else breakable. Of course, for this to work efficiently, you will need digraphs to be a set instead of a list where lookups are \$\mathcal{O}(1)\$ instead of \$\mathcal{O}(n)\$.

Lastly, I would only consider lowercase variants and turn the selected two characters lowercase before checking:

from uniseg.graphemecluster import grapheme_clusters


DIGRAPHS = {"dh", "gj", "ll", "nj", "rr", "sh", "th", "xh", "zh"}


def albanian_digraphs(s, breakables):
    for i, breakable in enumerate(breakables):
        yield 0 if s[i-1:i+1].lower() in DIGRAPHS else breakable


if __name__ == '__main__':    
    # from https://sq.wiktionary.org/wiki/Speciale:PrefixIndex?prefix=dh
    for text in ('dhallanik', 'dhelpëror', 'dhembshurisht', 'dhevështrues', 'dhimbshëm', 'dhjamosje', 'dhjetëballësh', 'dhjetëminutësh', 'dhogaç', 'dhogiç', 'dhomë-muze', 'dhuratë', 'dhëmbinxhi', 'dhëmbçoj', 'dhëmbëkatarosh'):
        print(list(grapheme_clusters(text, albanian_digraphs)))


Also note the use of if __name__ == '__main__' to separate the actual code from the tests.