This is the solution that I found:
(If you have an OS build in solution please let me know)

1. Get file2clip utility
   Download from github.com/rostok/file2clip or compile it yourself (C#).

2. Add to yazi.toml config

[[manager.prepend_keymap]]
on = "y"
run = [ "shell --block -- file2clip %*", "yank" ]

How to use:

• Single file: Press y

• Multiple files: Select with v then press y

• Make sure file2clip.exe is in your PATH