I have managed to successfully attach an external antenna to the Yun, but it is a hack.
I had misread this thread, bought a “SMA Female Plug to IPX U.FL Female Pigtail Cable” ( http://www.ebay.co.uk/itm/231098912466) , connected it to the Yun and saw no improvement.
Under a microscope, I could see that both the socket and plug were female. (see attached photos).
As I had nothing to lose, I thought I would have a go at creating a pin that would bridge the two female connectors. 1/0.6mm solid core wire fitted snugly in both connectors. I guessed at the correct length. Luckily i seemed to judge it about right and the plug is held firmly on the socket.
Amazingly, it worked. The Yun seems to auto sense the stronger signal. With no antenna connected to the SMA connector, the signal strength was about 35%. With the antenna connected, it bumped up to about 80%. I plugged/unplugged it a handful of times to convince myself it was working.
Obviously, with no soldering, this is might not be the most reliable of connections.
I would be interested to know from an RF expert whether I have managed to fluke a solution or whether the RF signal can jump the gap of a “not great” connection.
Let me know if you can reproduce my results.