NO!

PHP must be available and either the php_mysql() or the php_mysqli() extension or extension must be enabled in PHP configuration.

Starting from SQLyog 5.23 both extensions is supported and the tunneler will automatically detect which one is available and use it. If both are available php_mysqli() will be used. php_mysqli() is preferred with MySQL 5.0 and higher in particular. However still with shared servers at ISP's you may still find in some places that php_mysql() and not php_mysqli() is configured - in particular where the OS a rather old Linux (or other Unix). However you won't have to bother. SQLyog uses the best available option.

You can check with your webhost if SSH tunneling is available. SQLyog supports that too.