If SQLyog is taking long time (more than 5-10 seconds) to connect to your MySQL server using SSH tunneling then there could be problem with the name resolution.

The first thing that the SSH server does before forwarding the connection to the specified MySQL server is to perform a reverse DNS lookup on the client’s IP. The SSH server may cause an unnecessary delay during authentication due to incorrect or absent of reverse DNS settings. So in case of any slowness you should check those settings.

You can also disable most of the server-side lookups by setting UseDNS = "no" in SSHD configuration file (/etc/ssh/sshd_config on most systems). But in that case the MySQL host must be specified with an ip and not a hostname.