Importing keys into an HSM/key storage device is not an uncommon exercise. If you're asking about the structure of the bits you'd need to move into the device

Importing keys into an HSM/key storage device is not an uncommon exercise. If you're asking about the structure of the bits you'd need to move into the device in a verifiable way, there are standard APIs like PKCS #11 for interacting with HSMs. You would then need a computer and a PKCS #11 client application. If you don't have a computer you can trust to pass keyboard inputs to a USB port without being intercepted, you've got problems that a yubikey will not solve.