Is it considered good practice to create the key on the yubi and not have a backup? Or alternatively a master key to sign the key on the yubi so you can create a new subkey if you lose the yubi?
One way to achieve it is by generating it on a RAM disk and throwing it away, once it's on both Yubikeys. I blogged about it here https://blog.snapdragon.cc/2019/04/27/using-a-yubikey-to-sec... (for macOS)