I'm not so sure what you mean by "yellow", but snow can take on a yellowish tinge if it is colored by dust. Glaciers grind rock into a very fine silt, which can be blown easily, and also, as glaciers move, it gets entombed within the glacier. Because we live in a time between ice ages, a lot of the areas that had been covered by glaciers and thus this glacial silt now have only seasonal snow. As the snow melts, as temperature warms, the silt gets left behind, and so it concentrates on top of the snow the upper layers of which have melted away. This means that very clean snow can become very dirty as it melts, because the debris concentrate. Obviously this yellow is not as vividly yellow as snow that has been colored by urine.This silt is gray in large quantities, but I guess it could be yellowish; it's what gives glacially-fed lakes that wonderful turquoise color.

This said, there is one record I know of historically that had snow that was reported to be yellow: the explosion of Ancestral Krakatoa in 535 blew an ash cloud that rained fallout all over the world, causing droughts, famines, and otherwise wrecking a number of prominent civilizations. The Chinese recorded that snow fell yellow, which would have been caused by airborne volcanic ash entombed within the snow as it fell (although the Chinese did not know it at the time). Obviously we don't know how yellow this"yellow" snow actually was. Europeans and Chinese both recounted that rain that fell was tinted red, as if tainted by blood, also presumably because of volcanic ash suspended within the raindrops.