If you have FTP access to the server, then you should be able to edit the proper file. I'm still managing 1.9 installations, justnow moving intot he 2.1 installations, so I don't have the exact location of where it is calling the YUI files, and your theme could also play a role in that.
I took a quick look at the basic 2.1 installation set and it looks to be a little more complex than I anticipated, so there may be someone out there that knows the better way to do this.
For ease, you would be much better off allowing traffic from the yui,yahooapis.com domain. I did a quick search and see that that sepcific address is mentioned over 172 times throughout the moodle code.
I do see Tim's point, and notice in the config files, moodle is set to use an internal version of the YUI library located in /lib/yui, you mentioned seeing your server reach out to the yahoo servers, so I'm wondering if in your host's setup, they are not using the internal yui settings. It would be worth looking at their settings.