Yes. But several users have had problems getting connection parameters right. Here is what Yahoo say themselves:

Why can't I access my database?

First, make sure that you are using the hostname "mysql" and not "localhost" in any of your PHP or Perl configuration files that require a MySQL hostname.

You will need to use HTTP Tunneling. First upload SQLyogTunnel.php (available with the SQLyog installer). Put the correct URL in the HTTP Tunneling field and use the same credentials as you will use in your PHP pages. That is that 'hostname' should be "mysql" (case-sensitive).