I was very confused about this as well. I setup an account on my computer a few weeks ago with my yubikey, and since then I have reset my computer, so I decided to install keybase again. Unfortunately it asked for me to approve the new device from an existing one, and didn't offer the option to use my yubikey instead.

I have since emailed support, and they clarified that they don't support yubikeys as the auth layer since there aren't enough users with them for them to justify this work, which is understandable, but I have to say it was pretty confusing.